Search Results - subject:"range notes"

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Valuation of certain CMS spreads

Wu, Ping; Elliott, Robert J. - In: Financial markets and portfolio management 31 (2017) 4, pp. 445-467

Persistent link: https://www.econbiz.de/10011944624

Valuation of CMS range notes in a multifactor LIBOR market model

Wu, Ping; Elliott, Robert J. - In: International journal of financial engineering 3 (2016) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011532755

Valuation of quanto floating range notes under the cross-currency LIBOR market model

Chou, Chi-Hsun; Hsieh, Tsung-Yu; Chen, Son-nan - In: International journal of economics and finance 7 (2015) 12, pp. 70-83

Persistent link: https://www.econbiz.de/10011411651

VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS

JAIMUNGAL, SEBASTIAN; SURKOV, VLADIMIR - In: International Journal of Theoretical and Applied … 16 (2013) 06, pp. 1350034-1

for accrual swaps and accrual range notes. We demonstrate the versatility and precision of the method through numerical … experiments on European, Bermudan and callable bond options, accrual swaps and accrual range notes. …

Persistent link: https://www.econbiz.de/10010883214

Valuing early-exercise interest-rate options with multi-factor affine models

Jaimungal, Sebastian; Surkov, Vladimir - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-29

Persistent link: https://www.econbiz.de/10010197181