Zero Black-Derman-Toy Model in Catastrophic Events: COVID-19 Performance Analysis.

G Krzyżanowski, A Sosa - Journal of Derivatives, 2022 - search.ebscohost.com
In this article, we continue the research of our recent interest rate tree model, called the Zero
Black-Derman-Toy (ZBDT) model, which includes the possibility of a jump at each step to a …

Performance analysis of Zero Black-Derman-Toy interest rate model in catastrophic events: COVID-19 case study

G Krzyżanowski, A Sosa - arXiv preprint arXiv:2007.00705, 2020 - arxiv.org
In this paper we continue the research of our recent interest rate tree model called Zero
Black-Derman-Toy (ZBDT) model, which includes the possibility of a jump at each step to a …