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

會計研究所

研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

7 引文斯高帕斯（Scopus）

摘要

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.

原文	???core.languages.en_GB???
頁（從 - 到）	697-710
頁數	14
期刊	Journal of Futures Markets
卷	28
發行號	7
DOIs	https://doi.org/10.1002/fut.20310
出版狀態	已出版 - 7月 2008

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10.1002/fut.20310

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Valuation of floating range notes in a LIBOR market model

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