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

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  • Abaffy, Jozsef
  • Bertocchi, Marida
  • Gnudi, Adriana

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  • Abaffy, Jozsef & Bertocchi, Marida & Gnudi, Adriana, 2005. "Extensions of the Ho and Lee interest-rate model to the multinomial case," European Journal of Operational Research, Elsevier, vol. 163(1), pages 154-169, May.
    • Handle: RePEc:eee:ejores:v:163:y:2005:i:1:p:154-169
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    1. Vasicek, Oldrich A & Fong, H Gifford, 1982. "Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-348, May.
    2. Heath, David & Jarrow, Robert & Morton, Andrew, 1990. "Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 419-440, December.
    3. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    4. Robert R. Bliss & Ehud I. Ronn, 1989. "Arbitrage‐Based Estimation of Nonstationary Shifts in the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 44(3), pages 591-610, July.
    5. Ho, Thomas S Y & Lee, Sang-bin, 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
    6. Flesaker, Bjorn, 1993. "Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(4), pages 483-495, December.
    7. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
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    Cited by:

    1. Moreno, Manuel & Platania, Federico, 2015. "A cyclical square-root model for the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 241(1), pages 109-121.

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