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Black–Karasinski model

Known as: Black-Karasinski model 
In financial mathematics, the Black–Karasinski model is a mathematical model of the term structure of interest rates; see short rate model. It is a… 
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Related topics

Related topics

9 relations
Binomial options pricing modelHull–White modelMathematical modelNumerical method

Papers overview

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2007
2007
Competing Risks Model for Corporate Exit Analysis : Discrete Hazard Model and Extension with Stochastic Frailties
Publicly traded companies can leave a public system by bankruptcy or an exit due to merger. Discrete sub-hazard functions are… 
2007
2007
Moments of a Regime-Switching Stochastic Interest Rate Model With Randomized Regimes
Prior work indicates that a regime-switching stochastic model with randomized regime parameters creates a more plausible set of… 
2005
2005
구조화 채권의 가격 결정에 관한 연구 : Black-karasinski(1991) 모형의 응용 = A study on the valuation of structured notes : using black-karasinski model
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