Boyle, Phelim; Tan, Ken Seng; Tian, Weidong - In: Applied Mathematical Finance 8 (2001) 1, pp. 27-48
The Black-Derman-Toy (BDT) model is a popular one-factor interest rate model that is widely used by practitioners. One of its advantages is that the model can be calibrated to both the current market term structure of interest rate and the current term structure of volatilities. The input term...
