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A fresh view on the Ho-Lee model of the term structure from a stochastic discounting perspective - MaRDI portal

A fresh view on the Ho-Lee model of the term structure from a stochastic discounting perspective

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Publication:1283702

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DOI10.1007/S002910050078zbMath0916.90026OpenAlexW3123290561MaRDI QIDQ1283702

Jochen E. M. Wilhelm

Publication date: 30 June 1999

Published in: OR Spektrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002910050078

zbMATH Keywords

interest rates arbitrage term structure

Mathematics Subject Classification ID

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