Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework

DOI10.1007/S10986-005-0027-2MaRDI QIDQ852278zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Wiener processPoisson processHo-Lee modelshort-term interest rates

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)

Recommendations

• scientific article; zbMATH DE number 433054
• Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor
• Weak convergence of term structure movements and the connection of prices and interest rates^∗
• scientific article; zbMATH DE number 953313
• Extensions of the Ho and Lee interest-rate model to the multinomial case

Cites work

• scientific article; zbMATH DE number 1222811 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 796442 (Why is no real title available?)
• A mathematical model for the bond market.
• A squared binomial tree approach to discrete-time bond market modelling
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Option pricing: A simplified approach

Cited in

(6)

• Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor
• What drives short rate dynamics? A functional gradient descent approach
• Generalizations of Ho-Lee's binomial interest rate model II: randomization
• A result in the Ho and Lee's model
• Weak convergence of term structure movements and the connection of prices and interest rates^∗
• scientific article; zbMATH DE number 433054 (Why is no real title available?)

This page was built for publication: Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q852278)