Black-Karasinski Short Rate Tree Algorithm
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30.11.2022
Co-author
Affiliation
BMO
Main category
Economics (General Management)
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.
Further information
Further reading
https://ia601506.us.archive.org/30/items/bkTree/bkTree.pdf
Language
English
DOI
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