Two extensions for fitting discrete time term structure models with normally distributed factors

DOI10.1080/1350486042000228717zbMATH Open1066.91034OpenAlexW1964249437MaRDI QIDQ4676166FDOQ4676166

Authors: Şenay Ağca, Don M. Chance 

Publication date: 3 May 2005

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486042000228717

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zbMATH Keywords

Heath-Jarrow-Morton modelHo-Lee model

Mathematics Subject Classification ID

Cited In (5)

• Extensions of the Ho and Lee interest-rate model to the multinomial case
• A binomial approximation for two-state Markovian HJM models
• A squared binomial tree approach to discrete-time bond market modelling
• Interest rate trees: extensions and applications
• Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor

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