Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework (Q852278)
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scientific article; zbMATH DE number 5076500
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| English | Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework |
scientific article; zbMATH DE number 5076500 |
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Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework (English)
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28 November 2006
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short-term interest rates
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Ho-Lee model
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Wiener process
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Poisson process
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0.7944513559341431
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0.7806649208068848
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0.7574706673622131
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