Valuation of floating range notes in a LIBOR market model | Publication

Title	Valuation of floating range notes in a LIBOR market model
Creator	Wu, Ting-Pin;Chen, Son-Nan 陳松男
Contributor	金融系
Date	2008-07
Date Issued	2-Sep-2015 17:04:56 (UTC+8)
Summary	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
Type	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-Sep-2015 17:04:56 (UTC+8)	-
dc.date.available	2-Sep-2015 17:04:56 (UTC+8)	-
dc.date.issued (上傳時間)	2-Sep-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.