Título:
Zero Black-Derman-Toy interest rate model
Otros títulos:
Coordinador:
Director:
Compilador:
Autor:
Krzyzanowski, Grzegorz
Mordecki, Ernesto
Sosa, Andrés
Mordecki, Ernesto
Sosa, Andrés
Tutor:
Tipo de documento:
Preprint
Editor:
Palabras clave:
Black-Derman-Toy model,
Zero Interest Rate Policy
Bond option
Financial Crisis
Term structure
Zero Interest Rate Policy
Bond option
Financial Crisis
Term structure
Descriptores:
Año de publicación:
2020
Contenido:
Resumen:
We propose a modification of the classical Black-Derman-Toy (BDT) interest rate tree model, which includes the possibility of a jump with small probability at each step to a practically zero interest rate. The corresponding BDT algorithms are consequently modified to calibrate the tree containing the zero interest rate scenarios. This modification is motivated by the recent 2008–2009 crisis in the United States and it quantifies the risk of a future crises in bond prices and derivatives. The proposed model is useful to price derivatives. This exercise also provides a tool to calibrate the probability of this event. A comparison of option prices and implied volatilities on US Treasury bonds computed with both the proposed and the classical tree model is provided, in six different scenarios along the different periods
comprising the years 2002–2017.
Descripción:
Versión permitida: preprint
Publicado también en: The Journal of Fixed Income, 2021, 31(3). DOI: 10.3905/jfi.2021.1.122
Publicado también en: The Journal of Fixed Income, 2021, 31(3). DOI: 10.3905/jfi.2021.1.122
metadata.articulos.dc.description.uri:
Editorial:
EN:
Economics (Econometrics), 2020, arXiv:1908.04401. Jul., 2020
Financiadores:
Citación:
Krzyzanowski, G, Mordecki, E y Sosa, A. "Zero Black-Derman-Toy interest rate model" [Preprint]. Publicado en: Economics (Econometrics), 2020, arXiv:1908.04401. Jul. 2020, pp. 1-19. DOI:10.48550/arXiv.1908.04401
Citación:
metadata.articulos.cc.license.name:
ISBN:
e-ISBN:
ISSN:
ISMN:
Otros identificadores:
Cobertura geográfica:
Cobertura temporal:
Departamento académico:
Grupo de investigación:
Licencia:
Licencia Creative Commons Atribución - No Comercial - Sin Derivadas (CC - By-NC-ND 4.0)
Colecciones:
| Ficheros | Descripción | Tamaño | Formato | ||
|---|---|---|---|---|---|
| 1908.04401.pdf | — | 249.89 KB | Adobe PDF |