Deriscope

The Excel Derivatives Periscope

Products

Black_Karasinski_Model

Black Karasinski Model is a Type that represents a short rate that follows a single-factor stochastic process r according to the SDE:
dln(r) = (θ - α ln(r))dt + σdw
where ln(r) denotes the logarithm of r. w is a Wiener process, α, σ are constants and θ is a deterministic function of the time t.