Calibrating the Black-Derman-Toy model: some theoretical results
Year of publication: |
2001
|
---|---|
Authors: | Boyle, Phelim ; Tan, Ken Seng ; Tian, Weidong |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 8.2001, 1, p. 27-48
|
Publisher: |
Taylor & Francis Journals |
Subject: | Interest Rate Models | Black-DERMAN-TOY Model | Volatility | Short Term | Yield |
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