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Valuation of floating range notes in a LIBOR market model

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  • Ting‐Pin Wu
  • Son‐Nan Chen

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. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:697–710, 2008

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  • Ting‐Pin Wu & Son‐Nan Chen, 2008. "Valuation of floating range notes in a LIBOR market model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(7), pages 697-710, July.
    • Handle: RePEc:wly:jfutmk:v:28:y:2008:i:7:p:697-710
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    1. Ping Wu & Robert J. Elliott, 2016. "Valuation of CMS range notes in a multifactor LIBOR market model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-19, March.

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