Another Look at the Ho-Lee Bond Option Pricing Model
Mathematical Finance
2019-04-04 v1
Abstract
In this paper, we extend the classical Ho-Lee binomial term structure model to the case of time-dependent parameters and, as a result, resolve a drawback associated with the model. This is achieved with the introduction of a more flexible no-arbitrage condition in contrast to the one assumed in the Ho-Lee model.
Cite
@article{arxiv.1712.06664,
title = {Another Look at the Ho-Lee Bond Option Pricing Model},
author = {Young Shin Kim and Stoyan Stoyanov and Svetlozar Rachev and Frank J. Fabozzi},
journal= {arXiv preprint arXiv:1712.06664},
year = {2019}
}