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A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.
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votes
Caplet "in arrears" pricing formula
Case I
Let us consider a derivative with a payoff $H(L(T_{f},T_{S},T_{E}))$ which is paid at time $T_{p}$.
Note that:
$T_{f}$ - LIBOR fixing date;
$T_{S}$ - LIBOR start date;
$T_{E}$ - LIBOR maturity …