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Binomial Term Structure Models

S. Benninga
Z. Wiener
Journal / Anthology

Mathematica in Education and Research
Year: 1998
Volume: 7
Issue: 3
Page range: 11-19

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.

*Business and Economics
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binterm.nb (1.3 MB) - Mathematica Notebook