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Export Reference (APA) 
Nunes, J. P. V. (2004). Multifactor valuation of floating range notes. Mathematical Finance, 14(2), 79?97. https://doi.org/10.1111/j.0960-1627.2004.00182.x
Export Reference (IEEE) 
J. P. Nunes,  "Multifactor valuation of floating range notes", in Mathematical Finance, vol. 14, no. 2, pp. 79-97, 2004
Export BibTeX 
@article{nunes2004_1792768577433,
	author = "Nunes, J. P. V.",
	title = "Multifactor valuation of floating range notes",
	journal = "Mathematical Finance",
	year = "2004",
	volume = "14",
	number = "2",
	doi = "10.1111/j.0960-1627.2004.00182.x",
	pages = "79-97",
	url = "http://onlinelibrary.wiley.com/doi/10.1111/j.0960-1627.2004.00182.x/full"
}
Export RIS 
TY  - JOUR
TI  - Multifactor valuation of floating range notes
T2  - Mathematical Finance
VL  - 14
IS  - 2
AU  - Nunes, J. P. V.
PY  - 2004
SP  - 79-97
SN  - 0960-1627
DO  - 10.1111/j.0960-1627.2004.00182.x
UR  - http://onlinelibrary.wiley.com/doi/10.1111/j.0960-1627.2004.00182.x/full
AB  - Under a one-factor Gaussian Heath-Jarrow-Morton model, Turnbull (1995) as well as Navatte and Quittard-Pinon (1999) have provided explicit pricing solutions for range notes contracts. The present paper generalizes such closed-form solutions for the context of a multifactor Gaussian HJM framework.
ER  -