Extensions of the Ho and Lee interest-rate model to the multinomial case

DOI10.1016/J.EJOR.2004.01.005zbMATH Open1066.91035OpenAlexW2009920674MaRDI QIDQ704072FDOQ704072

Authors: József Abaffy, Marida Bertocchi, Adriana Gnudi 

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.005

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zbMATH Keywords

Term structureMultinomial modelPricing

Mathematics Subject Classification ID

Cites Work

• A theory of the term structure of interest rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Interest-Rate-Derivative Securities

Cited In (4)

• A cyclical square-root model for the term structure of interest rates
• Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework
• Generalizations of Ho-Lee's binomial interest rate model II: randomization
• Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor

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