Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor
Year of publication: |
2006
|
---|---|
Authors: | Akahori, Jirô ; Aoki, Hiroki ; Nagata, Yoshihiko |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 13.2006, 2, p. 151-179
|
Publisher: |
Springer |
Subject: | Ho–Lee model | Duration | Multi-factor | Recombining tree | Stationary increments | Forward rate | Drift condition |
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