Title

Binomial Interest Rate Trees: A Synopsis of Uses and Estimation Approaches

Authors

R. Stafford Johnson, Xavier University - CincinnatiFollow
Richard Zuber
John Gandar

Document Type

Article

Publication Title

Journal of Financial Education

Volume

27

First Page

53

75

Publication Date

10-1-2001

Abstract

The option features embedded in many intermediate and long-term bonds and fixed-income securities have made the binomial interest rate tree approach to bond valuation the standard model for pricing debt securities. This paper reviews how the binomial model is used to price bonds with option features and mortgage-backed securities and how it is estimated.

Recommended Citation

Johnson, R. Stafford; Zuber, Richard; and Gandar, John, "Binomial Interest Rate Trees: A Synopsis of Uses and Estimation Approaches" (2001). Faculty Scholarship. 53.
https://www.exhibit.xavier.edu/finance_faculty/53