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

DOI10.1007/S10986-005-0027-2zbMath1201.91208OpenAlexW2023279644MaRDI QIDQ852278

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

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

Cites Work

• A mathematical model for the bond market.
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Option pricing: A simplified approach
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