A result in the Ho and Lee's model

zbMATH Open1189.91083MaRDI QIDQ3569658FDOQ3569658

Authors: Paolo Sentinelli 

Publication date: 21 June 2010

Full work available at URL: http://www.m-hikari.com/ams/ams-2010/ams-1-4-2010/index.html

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zbMATH Keywords

limitrisk premiumforward ratefuture rateHo and Lee's model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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