Publications
Publications
- May 2005 (Revised February 2006)
- HBS Case Collection
Introduction to Interest Rate Options
Abstract
Introduces interest rate derivatives, covering floors, caps, and swaptions. Introduces floors, caps, and swaps by analogy to equity puts, calls, and stocks. As with calls and puts on equity, a put-call parity relationship is shown to exist between caps, floors, and swaps. Draws on students' knowledge of the put-call parity in an equity context.
Keywords
Citation
Chacko, George C., and Anders Sjoman. "Introduction to Interest Rate Options." Harvard Business School Background Note 205-112, May 2005. (Revised February 2006.)