Anzeige
Erschienen in:
2004 | OriginalPaper | Buchkapitel
The Ho and Lee Model
verfasst von : Simona Svoboda
Erschienen in: Interest Rate Modelling
Verlag: Palgrave Macmillan UK
Enthalten in: Professional Book Archive
Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.
Wählen Sie Textabschnitte aus um mit Künstlicher Intelligenz passenden Patente zu finden. powered by
Markieren Sie Textabschnitte, um KI-gestützt weitere passende Inhalte zu finden. powered by
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) [27] 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.