|
 |
Investing Glossary:
Yield curve option-pricing models
Copyright 2009,
Campbell R. Harvey. All Rights Reserved.
Do not reproduce without explicit permission.
- Y -
| Term: |
| Yield curve option-pricing models
|
|
| Definition: |
| 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.
|
|
|
| |
|
