Valuation of floating range notes in a LIBOR market model

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 usua...

Full description

Saved in:
Bibliographic Details
Published in:The journal of futures markets 2008-07, Vol.28 (7), p.697-710
Main Authors: Wu, Ting-Pin, Chen, Son-Nan
Format: Article
Language:English
Subjects:
Currency market
Financial models
Futures market
Interest rates
LIBOR
Money market
Pricing
Securities prices
Studies
Valuation methods
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
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. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:697–710, 2008
ISSN:0270-7314
1096-9934
DOI:10.1002/fut.20310