Another look at the ho−lee bond option pricing model

Young Shin Kim, Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi

Research output: Contribution to journalArticlepeer-review


In this article, we extend the classical Ho–Lee binomial term structure model to the case of time-dependent parameters and, as a result, resolve a drawback associated with the model. This is achieved with the introduction of a more flexible no-arbitrage condition in contrast to the one assumed in the Ho–Lee model.

Original languageEnglish
Pages (from-to)48-53
Number of pages6
JournalJournal of Derivatives
Issue number4
StatePublished - Jun 1 2018


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