PT  - JOURNAL ARTICLE
AU  - Hubert Shen
TI  - Can Non-Negative Interest Rates Grow on Recombining Trees? A New Approach
AID  - 10.3905/jfi.1999.319262
DP  - 1999 Sep 30
TA  - The Journal of Fixed Income
PG  - 76--79
VI  - 9
IP  - 2
4099  - https://pm-research.com/content/9/2/76.short
4100  - https://pm-research.com/content/9/2/76.full
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.