Valuation of floating range notes in a LIBOR market model

Ting Pin Wu; Son Nan Chen

doi:10.1002/fut.20310

Valuation of floating range notes in a LIBOR market model

Ting Pin Wu, Son Nan Chen

Graduate Institute of Accounting

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

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 language	English
Pages (from-to)	697-710
Number of pages	14
Journal	Journal of Futures Markets
Volume	28
Issue number	7
DOIs	https://doi.org/10.1002/fut.20310
State	Published - Jul 2008

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10.1002/fut.20310

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Valuation of floating range notes in a LIBOR market model

Abstract

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