Faster Solutions for Black Zero Lower Bound Term Structure Models

The Black framework offers a theoretically appealing way to model the term structure and gauge the stance of monetary policy when the zero lower bound of interest rates becomes constraining, but it is time consuming to apply using standard numerical methods. I outline a faster Monte Carlo simulation method for Black implementions, illustrate its performance for a one factor model, and then discuss the ready extension to models with multiple factors

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Year of publication:	2014
Authors:	Krippner, Leo
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Niedrigzinspolitik \| Low-interest-rate policy \| Schwarze Menschen \| Black people

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Extent:	1 Online-Ressource (9 p)
Series:	CAMA Working Paper ; No. 66/2013
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 24, 2013 erstellt
Other identifiers:	10.2139/ssrn.2330641 [DOI]
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013062770