Binomial Term Structure Models -- from Wolfram Library Archive

Title

Binomial Term Structure Models

Authors

S. Benninga

Z. Wiener

Journal / Anthology

Mathematica in Education and Research

Year:

1998

Volume:

Issue:

Page range:

11-19

Description

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.

Subject

Business and Economics

Downloads

binterm.nb (1.3 MB) - Mathematica Notebook

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