INDEX
adjusting curves
American options
arbitrage-free binomial tree of risk-free short rates. See binomial-tree option model
asset-backed securities, option-adjusted spread analysis and
assumed volatility
at the money
benchmark forward rates. See implied benchmark forward rates
benchmarks, yield and risk and
benchmark spot rates. See implied benchmark spot rates
benchmark yield curve
defined
hypothetical example
benchmark yields, implied spot rates and implied forward rates and
Bermudian option
binomial distribution
binomial process
binomial tree of outcomes
binomial-tree option model (lognormal model, arbitrage-free binomial tree of risk-free short rates)
See also price tree for bullet bond; price tree for callable bond; price tree for cash ...

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