學術產出-期刊論文
| 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 | 2008-07 |
| 上傳時間 | 2-九月-2015 17:04:56 (UTC+8) |
| 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. |
| dc.contributor | 金融系 | |
| dc.creator (作者) | Wu, Ting-Pin;Chen, Son-Nan | |
| dc.creator (作者) | 陳松男 | zh_TW |
| dc.date (日期) | 2008-07 | |
| dc.date.accessioned | 2-九月-2015 17:04:56 (UTC+8) | - |
| dc.date.available | 2-九月-2015 17:04:56 (UTC+8) | - |
| dc.date.issued (上傳時間) | 2-九月-2015 17:04:56 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/78204 | - |
| dc.description.abstract (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. | |
| dc.format.extent | 150381 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Futures Markets, 28(7), 697-710 | |
| dc.title (題名) | Valuation of floating range notes in a LIBOR market model | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1002/fut.20310. | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1002/fut.20310. |