Models studied in the previous chapters specify the movement of the shortterm interest rate and thereby endogenously determine the form of term structure (including its initial value). Ho and Lee (HL)  developed a model which takes as input, the initial interest rate term structure and derives its subsequent stochastic evolution. Hence the theoretical zero coupon bond prices (that is, those produced by the model) will be exactly consistent with those observed in the market.
Weitere Kapitel dieses Buchs durch Wischen aufrufen
- The Ho and Lee Model
- Palgrave Macmillan UK
- Chapter 10
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