Explosive behavior in the Black-Derman-Toy model

DOI10.1007/978-3-319-12307-3_52MaRDI QIDQ3459746zbMATH OpenOpenAlexFDO

Authors Dan Pirjol

Publication date 11 January 2016

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-12307-3_52

zbMATH Keywords

Eurodollar futuresBlack-Derman-Toy modellog-normally distributed interest rates

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
• Explosive behavior in a log-normal interest rate model
• Eurodollar futures pricing in log-normal interest rate models in discrete time
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• scientific article; zbMATH DE number 1500692

Cites work

• A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Explosive behavior in a log-normal interest rate model
• Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
• LIBOR and swap market models and measures
• Lognormality of rates and term structure models
• Phase transition in a log-normal Markov functional model
• The Market Model of Interest Rate Dynamics
• The logistic-normal integral and its generalizations

Cited in

(4)

• Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
• Eurodollar futures pricing in log-normal interest rate models in discrete time
• Explosion in the quasi-Gaussian HJM model
• Explosive behavior in a log-normal interest rate model

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