Valuation of floating range notes in levy term-structure models

Mathematical Finance

Volumn 16, Issue 2, 2006, Pages 237-254

  Eberlein, Ernst ^a   Kluge, Wolfgang ^a  

^a UNIVERSITY OF FREIBURG   (Germany)

Author keywords

Bilateral Laplace transform; Change of probability measure; Interest rate digital option; L vy process; Range note; Term structure model

Indexed keywords

EID: 33644976444     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00270.x     Document Type: Review

References (14)

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