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摘要翻译：
我们提出了一种对经典的Black-Derman-Toy(BDT)利率树模型的改进，它包括了在每一步以小概率跳到实际零利率的可能性。对相应的BDT算法进行了改进，以校正包含零利率场景的树。这一修改是受最近2008-2009年美国危机的推动，它量化了债券价格和衍生品未来危机的风险。该模型对衍生品定价有一定的参考价值。这个练习还提供了一个工具来校准此事件的概率。在2002-2017年不同时期的六种不同情景下，用所提出的树模型和经典树模型计算了美国国债的期权价格和隐含波动。
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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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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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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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PDF链接：
https://arxiv.org/pdf/1908.04401
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