Binomial Term Structure Models
نویسنده
چکیده
T he term structure models discussed in our previous article (“Term Structure of Interest Rates,” MiER Vol. 7, No. 3) such as the [Vasicek 1978] or the [CoxIngersoll-Ross 1985] model may not match the current term structure. The Black-Derman-Toy (BDT) and BlackKarasinksi models discussed in this article are important examples of models in which the current term structure can always be replicated.
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