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Binomial Term Structure Models
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| Mathematica in Education and Research |
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In this article, the authors develop several discrete versions of term structure models and study their major properties. We demonstrate how to program and calibrate such models as Black-Derman-Toy and Black-Karasinski. In addition we provide some simple methods for pricing options on interest rates.
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| binterm.nb (1.3 MB) - Mathematica Notebook |
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