Valuation of floating range notes in a LIBOR market model

Ting Pin Wu, Son Nan Chen

Research output: Contribution to journalArticlepeer-review

7 Scopus citations


This study derives an approximate pricing formula of floating range notes (FRNs) within the multifactor LIBOR market model (LMM) framework. The LMM features the ease for calibration procedure, and the resulting pricing formula is more tractable. In addition, since the underlying rate of FRNs is usually the LIBOR rate, the pricing of the FRNs under the LMM is more direct and full of intuition.

Original languageEnglish
Pages (from-to)697-710
Number of pages14
JournalJournal of Futures Markets
Issue number7
StatePublished - Jul 2008


Dive into the research topics of 'Valuation of floating range notes in a LIBOR market model'. Together they form a unique fingerprint.

Cite this