In the Black-Derman-Toy (BDT) Model, Short Rates Have

Multiple Choice

In the Black-Derman-Toy (BDT) model, short rates have

A) Constant volatility for all maturities.
B) Volatility that changes by maturity of the short rate.
C) Volatility that varies by maturity and level of the short rate, i.e., state-dependent volatility.
D) Stochastic volatility.