Valuation of floating range notes in a LIBOR market model

Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/78204

DC Field	Value	Language
dc.contributor	金融系
dc.creator	Wu, Ting-Pin;Chen, Son-Nan
dc.creator	陳松男	zh_TW
dc.date	2008-07
dc.date.accessioned	2015-09-02T09:04:56Z	-
dc.date.available	2015-09-02T09:04:56Z	-
dc.date.issued	2015-09-02T09:04:56Z	-
dc.identifier.uri	http://nccur.lib.nccu.edu.tw/handle/140.119/78204	-
dc.description.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.
dc.format.extent	150381 bytes	-
dc.format.mimetype	application/pdf	-
dc.relation	Journal of Futures Markets, 28(7), 697-710
dc.title	Valuation of floating range notes in a LIBOR market model
dc.type	article	en
dc.identifier.doi	10.1002/fut.20310.
dc.doi.uri	http://dx.doi.org/10.1002/fut.20310.
item.openairetype	article	-
item.cerifentitytype	Publications	-
item.openairecristype	http://purl.org/coar/resource_type/c_18cf	-
item.fulltext	With Fulltext	-
item.grantfulltext	restricted	-
Appears in Collections:	期刊論文

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