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https://ah.lib.nccu.edu.tw/handle/140.119/78204
題名: | Valuation of floating range notes in a LIBOR market model | 作者: | Wu, Ting-Pin;Chen, Son-Nan 陳松男 |
貢獻者: | 金融系 | 日期: | Jul-2008 | 上傳時間: | 2-Sep-2015 | 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. | 關聯: | Journal of Futures Markets, 28(7), 697-710 | 資料類型: | article | DOI: | http://dx.doi.org/10.1002/fut.20310. |
Appears in Collections: | 期刊論文 |
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