Calibrating the Black-Derman-Toy model: some theoretical results

DOI10.1080/13504860110062049zbMath1021.91025OpenAlexW1983148466MaRDI QIDQ4541600

Ken Seng Tan, Weidong Tian, Phelim P. Boyle

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860110062049

zbMATH Keywords

interest ratesfinancial mathematicBlack-Derman-Toy mode

Mathematics Subject Classification ID

Related Items (3)

On the construction and complexity of the bivariate lattice with stochastic interest rate models ⋮ Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model ⋮ Bermudan option in Singapore savings bonds

Cites Work

• Unnamed Item
• A Theory of the Term Structure of Interest Rates
• Solving a Polynomial Equation: Some History and Recent Progress
• The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach¹
• An equilibrium characterization of the term structure

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