Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor

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dc.creatorAkahori, Jirô
dc.creatorAoki, Hiroki
dc.creatorNagata, Yoshihiko
dc.date2006-06-08
dc.date.accessioned2026-07-07T12:07:19Z
dc.date.available2026-07-07T12:07:19Z
dc.descriptionIn this paper a multi-factor generalization of Ho-Lee model is proposed. In sharp contrast to the classical Ho-Lee, this generalization allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is stationary to be compatible with principal component analysis. Based on the model, generalizations of duration-based hedging are proposed. A continuous-time limit of the model is also discussed.
dc.description34 pages, 3 figures
dc.identifierhttps://arxiv.org/abs/math/0606183
dc.identifierhttp://arxiv.org/abs/math/0606183
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208927
dc.subjectProbability
dc.subjectPricing of Securities
dc.subject91B28; 60G50
dc.titleGeneralizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor
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