Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor
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- Jir^o Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006. "Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor," Papers math/0606183, arXiv.org.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Young Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017. "Another Look at the Ho-Lee Bond Option Pricing Model," Papers 1712.06664, arXiv.org.
- Laurini, Márcio Poletti & Ohashi, Alberto, 2015.
"A noisy principal component analysis for forward rate curves,"
European Journal of Operational Research,
Elsevier, vol. 246(1), pages 140-153.
- Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.
More about this item
KeywordsHo–Lee model; Duration; Multi-factor; Recombining tree; Stationary increments; Forward rate; Drift condition; 91B28; 60G50; G12;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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