Once an Interest Rate Caplet Is Priced Using the HJM

question 8

Multiple Choice

Once an interest rate caplet is priced using the HJM libor model,you CANNOT price which of the following derivatives using a closed-form solution?

• A) an interest rate cap,which is a series of caplets
• B) an Asian interest rate cap,by computing a series of caplets maturing on consecutive days and then taking their average
• C) an interest rate floorlet,by caplet-floorlet parity
• D) an interest rate floor,which is a series of floorlets
• E) an interest rate collar,by pricing a cap and a floor

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