The price of Quanto Floaters depends on two factors, the term structure of the interest rates and the volatility of the reference rate. In this thesis, we investigate the present value at the issue date with CD and LIBOR term structure using the Black, Derman and Toy model. The combination of the reference rates is obtained by the probabilities at each node with correlation between CD and LIBOR interest rates. The empirical analysis shows that theoretical values for the analyzed Quanto Floaters are higher than the market values, even though it considers the credit spreads of the issuers.
