A fresh view on the Ho-Lee model of the term structure from a stochastic discounting perspective

DOI10.1007/S002910050078zbMATH Open0916.90026OpenAlexW3123290561MaRDI QIDQ1283702FDOQ1283702

Authors: Jochen E. M. Wilhelm 

Publication date: 30 June 1999

Published in: OR Spektrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002910050078

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zbMATH Keywords

term structureinterest ratesarbitrage

Mathematics Subject Classification ID

Cited In (3)

• A result in the Ho and Lee's model
• Extensions of the Ho and Lee interest-rate model to the multinomial case
• On the Mean-Variance Hedging in the Ho--Lee Diffusion Model

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