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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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2008
2008
Short Rate Models: Hull-White or Black-Karasinski? Implementation Note and Model Comparison for ALM
In this paper, we compare two one-factor short rate models: the Hull White model and the Black-Karasinski model. Despite their… 
2008
2008
A New Stock Model for Credibilistic Option Pricing
Thirty years ago, Black and Scholes assumed that stock price follows geometric Brownian motion, and stochastic flnancial… 
2008
2008
Choice of Interest Rate Term Structure Models for Assets and Liability Management
This paper compares the pricing and hedging performance of the LMM model against two spot-rate models, namely Hull-White and… 
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
2001
2001
Classes of Interest Rate Models under the HJM Framework
Although the HJM term structure model is widely accepted as the mostgeneral, and perhaps the most consistent, framework under… 
1996
1996
On a general class of one-factor models for the term structure of interest rates
Abstract.We propose a general one-factor model for the term structure of interest rates which based upon a model for the short… 
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