英文标题：
《Zero Black-Derman-Toy interest rate model》
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作者：
Grzegorz Krzy\\.zanowski, Ernesto Mordecki, Andr\\\'es Sosa
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最新提交年份：
2020
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英文摘要：
We propose a modification of the classical Black-Derman-Toy (BDT) interest rate tree model, which includes the possibility of a jump with small probability at each step to a practically zero interest rate. The corresponding BDT algorithms are consequently modified to calibrate the tree containing the zero interest rate scenarios. This modification is motivated by the recent 2008-2009 crisis in the United States and it quantifies the risk of a future crises in bond prices and derivatives. The proposed model is useful to price derivatives. This exercise also provides a tool to calibrate the probability of this event. A comparison of option prices and implied volatilities on US Treasury bonds computed with both the proposed and the classical tree model is provided, in six different scenarios along the different periods comprising the years 2002-2017.
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中文摘要：
我们提出了对经典的黑皮人玩具（BDT）利率树模型的修改，该模型包括在每一步以小概率跳到实际零利率的可能性。相应的BDT算法因此被修改，以校准包含零利率场景的树。这一修改是受美国最近2008-2009年危机的推动，它量化了未来债券价格和衍生品危机的风险。该模型对衍生产品的定价是有用的。此练习还提供了一种工具来校准此事件的概率。在包括2002-2017年在内的六个不同时期的六种不同情景下，对比了使用拟议和经典树模型计算的美国国债期权价格和隐含波动率。
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分类信息：

一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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