Pricing Floating-Rate Debt and Related Interest Rate Options

Pricing Floating-Rate Debt and Related Interest Rate Options
Most developing country debt is denominated in U.S. dollars and has a floating interest rate. The pricing of floating rate debt and related interest rate options are examined in this paper. Formulas for pricing ceilings and floors on floating rate debt are derived for several different models of interest rate variability. A framework for pricing... READ MORE...

Publication date: February 1990
ISBN 9781451842333
$15.00

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