Questions tagged [bdt]

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Arrow Debreu Price vs Green's function

How is the Arrow Debreu Price related to Green's function at an intuitive level and how is this used in practice? Note Added 2021/02/01 I came across this in the Black Derman Toy model paper by Boyle, ...
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Zero Coupon Volatility data

I am trying to construct a Black-Derman-Toy trinomial tree as explained in Espen Haug's Complete Guide to Option Pricing Formulas, chapter 11. Where do I get the Inputs (table 11-2) from if I wanted ...
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Relation between BDT volatility and Hull-White one factor Volatility

Is there any mathematical relationship between the volatility of spot rates calibrated from Lognormal model and the volatility of spot rates calibrated from HW one factor model?