Hagan's Range Accrual Pricing

wonjun · February 11th, 2011, 1:01 am

Hi all,When I price the range accrual(w/o call), I refer to the mathod of Hagan's. He uses in there the date mismatch correction, very clever way calculating w/o a measure change, and caplet/floorlet replication.I had been used the method of the timing adjustment(in Hull's book) directly with a range rate and then caplet/floorlet replication.Does anyone know which one is better?

wonjun · February 14th, 2011, 3:05 am

Anyone who helps this issue? Plz..