TY - JOUR
T1 - Another look at the ho−lee bond option pricing model
AU - Kim, Young Shin
AU - Stoyanov, Stoyan V.
AU - Rachev, Svetlozar T.
AU - Fabozzi, Frank J.
N1 - Publisher Copyright:
© 2017 Institutional Investor LLC. All Rights Reserved.
PY - 2018/6/1
Y1 - 2018/6/1
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85049140569&partnerID=8YFLogxK
U2 - 10.3905/jod.2018.25.4.048
DO - 10.3905/jod.2018.25.4.048
M3 - Article
AN - SCOPUS:85049140569
VL - 25
SP - 48
EP - 53
JO - Journal of Derivatives
JF - Journal of Derivatives
SN - 1074-1240
IS - 4
ER -