Black–Derman–Toy model
id:
black-derman-toy-model-247-13330722
title:
Black–Derman–Toy model
text:
In mathematical finance, the Black–Derman–Toy model (BDT) is a popular short-rate model used in the pricing of bond options, swaptions and other interest rate derivatives; see Lattice model (finance) § Interest rate derivatives. It is a one-factor model; that is, a single stochastic factor—the short rate—determines the future evolution of all interest rates. It was the first model to combine the mean-reverting behaviour of the short rate with the log-normal distribution, and is still widely used
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wiki
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encyclopedia
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original url:
https://en.wikipedia.org/wiki/Black%E2%80%93Derman%E2%80%93Toy_model
date created:
date modified:
2024-03-19T15:54:34Z
main entity:
{"identifier":"Q4923650","url":"https://www.wikidata.org/entity/Q4923650"}
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13
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