Zero-Black–Derman–Toy利率模型

G. Krzyzanowski, E. Mordecki, Andr'es Sosa
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引用次数: 2

摘要

我们提出了对经典的Black–Derman–Toy(BDT)利率树模型的修改,该模型包括在每一步以小概率跳到实际零利率的可能性。相应的BDT算法因此被修改以校准包含零利率场景的树。这一修改的动机是美国最近的2007-2008年危机,它量化了未来债券价格和衍生品危机的风险。所提出的模型可用于衍生品的定价。在2002-2017年的不同时期,在六种不同的情况下,对用拟议树模型和经典树模型计算的美国国债的期权价格和隐含波动率进行了比较。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Zero Black–Derman–Toy Interest Rate Model
We propose a modification of the classical Black–Derman–Toy (BDT) interest rate tree model, which includes the possibility of a jump with a small probability at each step to a practically zero interest rate. The corresponding BDT algorithms are consequently modified to calibrate the tree containing zero interest rate scenarios. This modification is motivated by the recent 2007–2008 crisis in the United States, and it quantifies the risk of future crises in bond prices and derivatives. The proposed model can be useful to price derivatives. 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.
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来源期刊
Journal of Fixed Income
Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
1.10
自引率
0.00%
发文量
23
期刊介绍: The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.
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