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

DOI10.1080/1350486042000228717MaRDI QIDQ4676166zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Heath-Jarrow-Morton modelHo-Lee model

Mathematics Subject Classification ID

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• 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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