Scientific journal paper Q1
Multifactor valuation of floating range notes
João Nunes (Nunes, J. P. V.);
Journal Title
Mathematical Finance
Year (definitive publication)
2004
Language
English
Country
United States of America
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Abstract
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.
Acknowledgements
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Keywords
Gaussian HJM multifactor models,Change of probability measure,Bivariate normal distribution,Interest rate digital options,Range notes
Fields of Science and Technology Classification
  • Mathematics - Natural Sciences
  • Economics and Business - Social Sciences
  • Sociology - Social Sciences
Publication Identifiers
2-s2.0-1042290836
10.1111/j.0960-1627.2004.00182.x
WOS:000187550300004
000187550300004
2-s2.0-1042290836
ci-pub-7280
Other Publication Details
2003
Wiley-Blackwell
Web of Science©; Scopus;
0960-1627 (print)
0960-1627 (online)
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14 2
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79 - 97
Yes
Both (printed and digital)
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  • Readers: 10