Valuation of floating range notes in a L
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Ting-Pin Wu; Son-Nan Chen
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Article
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2008
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John Wiley and Sons
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English
⚖ 145 KB
## 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