21. If an option is viewed as one in which the underlying is an interest rate, then...

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21. If an option is viewed as one in which the underlying is an interest rate, then buying a cap is equivalent to buying a package of calls on interest rates and buying a floor is equivalent to buying a package of puts on interest rates.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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Question Posted: Oct 23, 2024 10:01 AM

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21. If an option is viewed as one in which the underlying is an interest rate, then...

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Measuring And Controlling Interest Rate And Credit Risk

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