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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/78204

Please use this identifier to cite or link to this item: https://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 陳松男
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 link:	http://dx.doi.org/10.1002/fut.20310.
DOI:	10.1002/fut.20310.
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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