YIELD CURVE OPTION-PRICING MODELS


Meaning of YIELD CURVE OPTION-PRICING MODELS in English

Models that can incorporate different volatility assumptions along the yield curve , such as the Black-Derman-Toy model. Also called arbitrage-free option-pricing models .

Campbell R. Harvey. Hypertextual finance English glossary.      Английский словарь гипертекстовых финансов.