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Keywords: Black‐Derman‐Toy model
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Journal Articles
An empirical study of the pricing of reverse floating interest rate‐linked products
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2013) 3 (2): 186–202.
Published: 10 May 2013
... and binary tree, we can see when the interest rate volatility is a constant the binary tree of BDT model is as shown in Figure 1 Interest rate linked Black‐Derman‐Toy model Reverse floating interest rate‐linked products Pricing Investments Interest rates Under the influence...
