Realdon, Marco - In: International Review of Financial Analysis 18 (2009) 5, pp. 232-238
This paper examines "Extended Black" term structure models (EBTSM), which are multi-factor extensions of the one-factor Black model (Black, F., 1995. Interest rates as options. Journal of Finance 50, 1371-1376). EBTSM are not affected by the admissibility restrictions that plague canonical...