Exercise . (Caplets and options on zero-coupon bonds) Assume that the lognormal LIBOR market model holds. Use
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Exercise . (Caplets and options on zero-coupon bonds) Assume that the lognormal LIBOR market model holds. Use the caplet formula (.) and the relations between caplets, floorlets, and European bond options known from Chapter to show that the following pricing formulas for European options on zero-coupon bonds are valid
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