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

DOI10.1016/j.ejor.2004.01.005zbMath1066.91035OpenAlexW2009920674MaRDI QIDQ704072

Adriana Gnudi, Marida Bertocchi, Jozsef Abaffy

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.005

zbMATH Keywords

Term structurePricingMultinomial model

Mathematics Subject Classification ID

Related Items (1)

A cyclical square-root model for the term structure of interest rates

Cites Work

• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Interest-Rate-Derivative Securities

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