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Black-Karasinski Short Rate Tree Model
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Derivative securities--Valuation
- Item Type:
- Essay
- Tag(s):
- Black-Karasinski M
- Permanent URL:
- https://doi.org/10.17613/vzt1-9r08
- Abstract:
- The Black-Karasinski model is a short rate model that assumes the short-term interest rates to be log-normally distributed. We implement the one factor Black-Karasinski model as a binomial or trinomial tree.
- Notes:
- https://finpricing.com/lib/EqConvertible.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 7 months ago
- License:
- Attribution
bktree.pdf