An Alternative Trinomial Formulation for One Factor Term Structure Models
Posted: 9 Oct 2000
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: Suggested Citation