Explosive behavior in the Black-Derman-Toy model
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Publication:3459746
DOI10.1007/978-3-319-12307-3_52zbMATH Open1409.91256OpenAlexW2150624844MaRDI QIDQ3459746FDOQ3459746
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
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- scientific article; zbMATH DE number 1500692
Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- LIBOR and swap market models and measures
- The Market Model of Interest Rate Dynamics
- A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
- The logistic-normal integral and its generalizations
- Lognormality of rates and term structure models
- Phase transition in a log-normal Markov functional model
- Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
- Explosive behavior in a log-normal interest rate model
Cited In (4)
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