Explosive behavior in the Black-Derman-Toy model
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Publication:3459746
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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
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