1999 | OriginalPaper | Buchkapitel
Performance Evaluation of Algorithms for Black-Derman-Toy Lattice
verfasst von : Jozsef Abaffy, Marida Bertocchi, Jitka Dupačová, Vittorio Moriggia
Erschienen in: Current Topics in Quantitative Finance
Verlag: Physica-Verlag HD
Enthalten in: Professional Book Archive
Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.
Wählen Sie Textabschnitte aus um mit Künstlicher Intelligenz passenden Patente zu finden. powered by
Markieren Sie Textabschnitte, um KI-gestützt weitere passende Inhalte zu finden. powered by
Within the framework of sensitivity of the optimal value of the portfolio management problem described in Dupaeová and Bertocchi (1996), Dupaeová and Bertocchi (1997) with respect to lattice calibration, we compare Bjerksund and Stensland approximation algorithm, Kang Pan-Zenios algorithm and a modified Kang Pan-Zenios algorithm to generate short-rate interest rates tree according to Black-Derman-Toy model. Numerical testing of the behaviour of the three algorithms are given. The necessary inputs for Black-Derman-Toy model are yield curve and log-yield volatilities: we provide an evidence on the relatively large sensitivity of the parameters of the fitted lattice on the chosen volatility curve. The reported numerical experience is based on data from the Italian bond market.