Prove that the prices of ATM caps and floors coincide.

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Dec 26, 2018 10:23 AM

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Prove that the prices of ATM caps and floors coincide.

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Since the forward swap rate r S t ...View the full answer

A First Course in Quantitative Finance

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