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Once an Interest Rate Caplet Is Priced Using the HJM

Question 3

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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