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.

Investing Essentials

Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University


Term of the Day

Discretionary trust
In the context of mutual funds, refers to a mutual fund or unit trust whose management decides on the best way to use the assets without restriction to a specific type of security. In the context of... Read More

Subscribe to the Term of the Day via email Get the Term of the Day in your inbox!

Create your free portfolio