MultiFactor Valuation of Floating Range Notes-Reference-Cited by-同舟云学术

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MultiFactor Valuation of Floating Range Notes

Published:2004-01 Issue:1 Volume:14 Page:79-97
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Nunes Joao Pedro Vidal

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.0960-1627.2004.00182.x/fullpdf

Reference20 articles.

1. L.Clewlow, and C.Strickland(1998 ): Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models, Working paper , Financial Options Research Centre, University of Warwick.

2. Z.Drezner(1978 ): Computation of the Bivariate Normal Integral ,Math. Computat.32 , 277 279 .

3. H.Geman, N. EKaroui, and J.C.Rochet(1995 ): Changes of Numeraire, Changes of Probability Measure and Option Pricing ,J. Appl. Prob.32 , 443 458 .

4. R.Geske(1979 ): The Valuation of Compound Options ,J. Financial Econ.7 , 63 81 .

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