Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor

DOI10.1007/s10690-007-9039-8zbMath1283.91186arXivmath/0606183OpenAlexW2140114617MaRDI QIDQ2643675

Yoshihiko Nagata, Hiroki Aoki, Jirô Akahori

Publication date: 27 August 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0606183

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

A noisy principal component analysis for forward rate curves ⋮ Generalizations of Ho-Lee's binomial interest rate model II: randomization

Cites Work

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