Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework
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Publication:852278
DOI10.1007/S10986-005-0027-2zbMATH Open1201.91208OpenAlexW2023279644MaRDI QIDQ852278FDOQ852278
Authors: E. Artamonova, Remigijus Leipus 
Publication date: 28 November 2006
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-005-0027-2
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Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)
Cites Work
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- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Option pricing: A simplified approach
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- A mathematical model for the bond market.
- A squared binomial tree approach to discrete-time bond market modelling
Cited In (6)
- Weak convergence of term structure movements and the connection of prices and interest rates∗
- What drives short rate dynamics? A functional gradient descent approach
- A result in the Ho and Lee's model
- Generalizations of Ho-Lee's binomial interest rate model II: randomization
- Title not available (Why is that?)
- Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor
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