释义 |
Yield curve option-pricing models Yield curve option-pricing modelsModels 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 ModelsAny 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. |