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MultiFactor Valuation of Floating Range Notes
Author(s) -
Nunes João Pedro Vidal
Publication year - 2004
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.0960-1627.2004.00182.x
Subject(s) - heath–jarrow–morton framework , valuation (finance) , econometrics , gaussian , range (aeronautics) , mathematical economics , valuation of options , context (archaeology) , economics , financial economics , mathematics , computer science , engineering , finance , volatility (finance) , geology , physics , paleontology , aerospace engineering , quantum mechanics
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.