English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 95844/126434 (76%)
Visitors : 31593359      Online Users : 402
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/78204
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/78204

    Title: Valuation of floating range notes in a LIBOR market model
    Authors: Wu, Ting-Pin;Chen, Son-Nan
    Contributors: 金融系
    Date: 2008-07
    Issue Date: 2015-09-02 17:04:56 (UTC+8)
    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.
    Relation: Journal of Futures Markets, 28(7), 697-710
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1002/fut.20310.
    DOI: 10.1002/fut.20310.
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    697-710.pdf146KbAdobe PDF513View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback