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.

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

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Managed float

Also known as "dirty" float, this is a system of floating exchange rates with central bank intervention to reduce currency fluctuations.

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