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

DOI10.1007/S002910050078MaRDI QIDQ1283702zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

arbitrageinterest ratesterm structure

Mathematics Subject Classification ID

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Cited in

(3)

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

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