Yield curve option-pricing models(redirected from Yield Curve Option-Pricing Model)
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.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.
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.
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