The Valuation of Interest Rate Digital Options and Range Notes Revisited
用比Turnbull(1995)更简单直观的方法为利率结构化产品定价，给出欧式利率数字看涨期权的价格公式，并利用单因子线性高斯模型和计价单位变换推导出区间票据的闭式解。
The aim of this paper is to value interest rate structured products in a simpler and more intuitive way than Turnbull (1995). Considering some assumptions with respect to the evolution of the term structure of interest rates, the price of a European interest rate digital call option is given. Recall it is a contract designed to pay one dollar at maturity if a reference interest rate is above a prespecified level (the strike), and zero in all the others cases. Combining two options of this type enables us to value a European range digital option. Then using a one factor linear gaussian model and the new well‐known change of numeraire approach, a closed‐form formula is found to value range notes which pay at the end of each defined period, a sum equal to a prespecified interest rate times the number of days the reference interest rate lies inside a corridor.