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

DOI10.1016/J.EJOR.2004.01.005MaRDI QIDQ704072zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Term structureMultinomial modelPricing

Mathematics Subject Classification ID

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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

(5)

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

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