Calibrating the Black-Derman-Toy model: some theoretical results
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- Dan Pirjol, 2015. "Hogan-Weintraub singularity and explosive behaviour in the Black-Derman-Toy model," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1243-1257, July.
More about this item
KeywordsInterest Rate Models; Black-DERMAN-TOY Model; Volatility; Short Term; Yield;
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