MultiFactor Valuation of Floating Range Notes
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Publication:4464014
DOI10.1111/J.0960-1627.2004.00182.XzbMATH Open1097.91047OpenAlexW3126034014MaRDI QIDQ4464014FDOQ4464014
Publication date: 27 May 2004
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00182.x
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- Computation of the Bivariate Normal Integral
Cited In (6)
- Pricing of range accrual swap in the quantum finance Libor market model
- Pricing swaptions under multifactor Gaussian HJM models
- VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS
- Pricing range notes within Wishart affine models
- Pricing longevity derivatives via Fourier transforms
- Valuing early-exercise interest-rate options with multi-factor affine models
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