摘要： The pricing formulas for barrier caps and floors are derived under the framework of the LIBOR market model with double exponential jumps (LMMDJ). The LMMDJ can capture two important empirical features of interest rates: the leptokurtosis and the observed patterns in implied volatilities. The derived pricing formulas are highly efficient and accurate in the pricing of barrier caps and floors compared with Monte Carlo simulation, hence providing useful and efficient pricing formulas for market practitioners. [PUBLICATION ABSTRACT] 出版者： New York: Institutional Investor 出版日期： 2014-07-01 出處： The Journal of derivatives, 2014-07, Vol.21 (4), p.7-24 資源來源： Accounting, Tax & Banking Collection 版權： Copyright Euromoney Institutional Investor PLC Summer 2014 識別號： ISSN: 1074-1240 識別號： EISSN: 2168-8524 識別號： DOI: 10.3905/jod.2014.21.4.007
