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Building Trinomial Tree for Black Karasinski Model in Python

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Mar 17, 2024
24:49

The Black-Karasinski model is a framework used in finance to describe the behavior of interest rates over time. This model is particularly valuable in valuing interest rate derivatives and pricing fixed-income securities by providing a structured approach to understanding and predicting interest rate dynamics. I explained how to build trinomial tree for Black Karasinski model and implemented the model in Python. You are welcome to provide your comments and subscribe to my YouTube channel. The Python code is uploaded into https://github.com/AIMLModeling/BlackKarasinskiTree

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Building Trinomial Tree for Black Karasinski Model in Python | NatokHD