An Alternative Trinomial Formulation for One Factor Term Structure Models
Posted: 9 Oct 2000
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: 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
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.