RT Journal Article
SR Electronic
T1 Can Non-Negative Interest Rates Grow on Recombining Trees? A New Approach
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 76
OP 79
DO 10.3905/jfi.1999.319262
VO 9
IS 2
A1 Hubert Shen
YR 1999
UL https://pm-research.com/content/9/2/76.abstract
AB The author derives a new class of binomial interest rate models that are recombining, yet exhibit non–negative rates, a volatility smile, and mean reversion. The approach may also be used to generalize more conventional binomial tree models to incorporate sure features, if desired. Matching to the initial term structure of interest rates remains under investigation.