Option Theory and Floating-Rate Securities with a Comparison of Adjustable- and Fixed-Rate Mortgages

1993 ◽  
Vol 66 (4) ◽  
pp. 595 ◽  
Author(s):  
James B. Kau ◽  
Donald C. Keenan ◽  
Walter J. Muller III ◽  
James F. Epperson
Keyword(s):  
Fixed Rate ◽  
Floating Rate ◽  
Option Theory

scholarly journals Jump Diffusion Models for Risky Debts: Quality Spread Differentials

2003 ◽  
Vol 06 (06) ◽  
pp. 655-662 ◽  
Author(s):  
Hoi Ying Wong ◽  
Yue Kuen Kwok
Keyword(s):  
Diffusion Process ◽  
Closed Form ◽  
Firm Value ◽  
Jump Diffusion ◽  
Brownian Diffusion ◽  
Fixed Rate ◽  
Floating Rate ◽  
The Difference ◽  
The Impact ◽  
Risky Debt

The quality spread differential is defined to be the difference between the default premiums demanded for fixed rate and floating rate risky debts. The risky debt model based on Merton's firm value approach is used to examine the behaviors of the quality spread differential of fixed rate and floating rate debts. We extend earlier result by adopting Geometric Brownian diffusion process with jumps for the underlying firm value process of the debt issuer. Closed form formulas are obtained for the default premiums for risky debts. The impact of the jumps on the fixed-floating spread differential is examined.

scholarly journals The Use of Fixed-rate and Floating-rate Debt for Hotels

2005 ◽  
Vol 46 (4) ◽  
pp. 413-430 ◽  
Author(s):  
John B. (Jack) Corgel ◽  
Scott Gibson
Keyword(s):  
Fixed Rate ◽  
Floating Rate

The pricing of floating rate instruments

1998 ◽  
Vol 1 (4) ◽  
pp. 31-51
Author(s):  
Lara Cathcart
Keyword(s):  
Floating Rate
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