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Capped FRN Swap Valuation

Year: 2025

Type: article

Abstract: A model is presented for pricing European/Bermudan type callable capped floating rate note (FRN) swaps. The capped FRN swap is a contract to swap cash-flows between a vanilla floating rate leg and a capped floating rate leg. The option gives the right to call the swap back in favor of the option owner.

Source: Knowledge Commons (Lakehead University)

DOI: 10.17613/42g57-att05

Author: Lee, David

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W7080787010

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