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Yield Curve Option-Pricing Models |
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Yield curve option-pricing models Models that can incorporate different volatility assumptions along the yield curve, such as the Black-Derman-Toy model. Also called arbitrage-free option-pricing models. Yield Curve Option-Pricing Models Any formula or theory for mathematically determining the correct price for an option contract that considers the yield curve of a bond at different levels of volatility. An example is the Black-Derman-Toy Model. Want to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit the webmaster's page for free fun content. |
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