An Alternative Trinomial Formulation for One Factor Term Structure Models

Posted: 9 Oct 2000

See all articles by Richard J. Buttimer

Richard J. Buttimer

University of North Carolina (UNC) at Charlotte - Department of Finance & Business Law

Walter J. Muller, III

BankAmerica, Georgia

Robert D. Reeves

affiliation not provided to SSRN

Abstract

This paper presents an alternative method for constructing one factor, arbitrage free models of the term structure. The paper extends the binomial models of Black, Derman, and Toy (1990) and Black and Karasinski (1991) into a trinomial framework similar to that of Hull and White (1994).

JEL Classification: C20

Suggested Citation

Buttimer, Richard J. and Muller, Walter J. and Reeves, Robert D., An Alternative Trinomial Formulation for One Factor Term Structure Models. Available at SSRN: https://ssrn.com/abstract=6367

Richard J. Buttimer (Contact Author)

University of North Carolina (UNC) at Charlotte - Department of Finance & Business Law ( email )

9201 University City Blvd.
Charlotte, NC 28223
United States
704 687-6219 (Phone)

Walter J. Muller

BankAmerica, Georgia

600 Peachtree St.
Quantitative Finance 12th Floor
Atlanta, GA 30308
United States

Robert D. Reeves

affiliation not provided to SSRN

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