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Black–Karasinski model
Papers overview
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2008
2008
In this paper, we compare two one-factor short rate models: the Hull White model and the Black-Karasinski model. Despite their… Expand
2008
2008
Thirty years ago, Black and Scholes assumed that stock price follows geometric Brownian motion, and stochastic flnancial… Expand
2008
2008
This paper compares the pricing and hedging performance of the LMM model against two spot-rate models, namely Hull-White and… Expand
2007
2007
Publicly traded companies can leave a public system by bankruptcy or an exit due to merger. Discrete sub-hazard functions are… Expand
2007
2007
Prior work indicates that a regime-switching stochastic model with randomized regime parameters creates a more plausible set of… Expand
2001
2001
Although the HJM term structure model is widely accepted as the mostgeneral, and perhaps the most consistent, framework under… Expand
1996
1996
Abstract.We propose a general one-factor model for the term structure of interest rates which based upon a model for the short… Expand
