On Arbitrage-Free Pricing of Interest Rate Contingent Claims.
Unlike most interest rate claim models, the Ho-Lee (1986) model utilizes full information on the current term structure. Unfortunately, the model has a major deficiency in that negative interest rates can occur. This article modifies the model such that interest rates are well behaved. Copyright 1990 by American Finance Association.
Year of publication: |
1990
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Authors: | Ritchken, Peter ; Boenawan, Kiekie |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 45.1990, 1, p. 259-64
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Publisher: |
American Finance Association - AFA |
Saved in:
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