VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS (Q5488974)
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scientific article; zbMATH DE number 5056721
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| English | VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS |
scientific article; zbMATH DE number 5056721 |
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VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS (English)
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25 September 2006
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Lévy process
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term-structure model
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change of probability measure
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bilateral Laplace transform
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interest rate digital option
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range note
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0.90085816
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0.8619061
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0.85996467
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0.85760176
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0.84009045
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0.8395765
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0.8327397
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