MultiFactor Valuation of Floating Range Notes

João Pedro Vidal Nunes

Mathematical Finance, 2004, vol. 14, issue 1, 79-97

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.

Date: 2004
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