{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,4,2]],"date-time":"2022-04-02T12:37:09Z","timestamp":1648903029935},"reference-count":5,"publisher":"World Scientific Pub Co Pte Lt","issue":"02","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Asia Pac. J. Oper. Res."],"published-print":{"date-parts":[[2010,4]]},"abstract":"<jats:p> In this paper, we deal with no-arbitrage pricing problems of a chooser flexible cap written on an underlying LIBOR. The chooser flexible cap allows a right for a buyer to exercise a limited and pre-determined number of the interim period caplets in a multiple-period cap agreement. Assuming a common diffusion short rate dynamics, e.g., Hull\u2013White model, we propose a dynamic programming approach for their risk neutral evaluation. This framework is suited to a calibration from an observed initial yield curve and market price data of discount bonds, caplets, and floorlets. <\/jats:p>","DOI":"10.1142\/s0217595910002661","type":"journal-article","created":{"date-parts":[[2010,5,24]],"date-time":"2010-05-24T09:37:10Z","timestamp":1274693830000},"page":"243-256","source":"Crossref","is-referenced-by-count":1,"title":["PRICING AND CALIBRATION OF A CHOOSER FLEXIBLE CAP"],"prefix":"10.1142","volume":"27","author":[{"given":"DAISUKE","family":"ITO","sequence":"first","affiliation":[{"name":"SMBC Capital Markets, Inc., 277 Park Avenue, New York, NY 10172, USA"}]},{"given":"MASAMITSU","family":"OHNISHI","sequence":"additional","affiliation":[{"name":"Graduate School of Economics &amp; Center for the Study of Finance and Insurance, Osaka University, 1\u20137 Machikaneyama\u2013machi, Toyonaka, Osaka 560\u20130043, Japan"}]},{"given":"YASUHIRO","family":"TAMBA","sequence":"additional","affiliation":[{"name":"Credit Pricing Corporation, St. Luke's, Tower 28F, 8-1, Akashi-cho, Chuo-ku, Tokyo, 104-0044, Japan"}]}],"member":"219","published-online":{"date-parts":[[2011,11,20]]},"reference":[{"key":"rf1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"rf2","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00028"},{"key":"rf3","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/3.4.573"},{"key":"rf4","first-page":"7","author":"Hull J.","journal-title":"The Journal of Derivatives"},{"key":"rf5","first-page":"60","author":"Pedersen M. B.","journal-title":"The Journal of Derivatives"}],"container-title":["Asia-Pacific Journal of Operational Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.worldscientific.com\/doi\/pdf\/10.1142\/S0217595910002661","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,6]],"date-time":"2019-08-06T22:44:36Z","timestamp":1565131476000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.worldscientific.com\/doi\/abs\/10.1142\/S0217595910002661"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,4]]},"references-count":5,"journal-issue":{"issue":"02","published-online":{"date-parts":[[2011,11,20]]},"published-print":{"date-parts":[[2010,4]]}},"alternative-id":["10.1142\/S0217595910002661"],"URL":"https:\/\/doi.org\/10.1142\/s0217595910002661","relation":{},"ISSN":["0217-5959","1793-7019"],"issn-type":[{"value":"0217-5959","type":"print"},{"value":"1793-7019","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,4]]}}}