Explosive Behavior in the Black–Derman–Toy Model
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Publication:3459746
DOI10.1007/978-3-319-12307-3_52zbMath1409.91256MaRDI QIDQ3459746
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
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
- The logistic-normal integral and its generalizations
- LIBOR and swap market models and measures
- EXPLOSIVE BEHAVIOR IN A LOG-NORMAL INTEREST RATE MODEL
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
- The Market Model of Interest Rate Dynamics
- Lognormality of rates and term structure models
- Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
- Phase transition in a log-normal Markov functional model