Relevant bibliographies by topics / The Ho-Lee model

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  2. Dissertations / Theses
  3. Book chapters

Academic literature on the topic 'The Ho-Lee model'

Author: Grafiati
Published: 24 April 2022
Last updated: 30 July 2025

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Journal articles on the topic "The Ho-Lee model"

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Ho, Thomas S. Y., and Sang Bin Lee. "Generalized Ho-Lee Model." Journal of Fixed Income 17, no. 3 (2007): 18–37. http://dx.doi.org/10.3905/jfi.2007.700217.

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Ivanov, Roman V. "On the Generalized Inverse Gaussian Volatility in the Continuous Ho–Lee Model." Computation 13, no. 4 (2025): 100. https://doi.org/10.3390/computation13040100.

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This paper presents a new model of the term structure of interest rates that is based on the continuous Ho–Lee one. In this model, we suggest that the drift and volatility coefficients depend additionally on a generalized inverse Gaussian (GIG) distribution. Analytical expressions for the bond price and its moments are found in the new GIG continuous Ho–Lee model. Also, we compute in this model the prices of European call and put options written on bond. The obtained formulas are determined by the values of the Humbert confluent hypergeometric function of two variables. A numerical experiment
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Kim, Young Shin, Stoyan V. Stoyanov, Svetlozar T. Rachev, and Frank J. Fabozzi. "Another Look at the Ho–Lee Bond Option Pricing Model." Journal of Derivatives 25, no. 4 (2018): 48–53. http://dx.doi.org/10.3905/jod.2018.25.4.048.

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Ebina, Aki, Natsumi Ochiai, and Masamitsu Ohnishi. "Valuation of Game Swaptions under the Generalized Ho-Lee Model." Journal of Mathematical Finance 06, no. 05 (2016): 1002–16. http://dx.doi.org/10.4236/jmf.2016.65065.

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Nechaev, M. L. "On the Mean-Variance Hedging in the Ho--Lee Diffusion Model." Theory of Probability & Its Applications 44, no. 1 (2000): 102–6. http://dx.doi.org/10.1137/s0040585x97977380.

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Artamonova, Jelena, and Remigijus Leipus. "Obligacijų rinkos modeliavimas trinominio medžio pagalba." Lietuvos matematikos rinkinys 44 (December 17, 2004): 597–602. http://dx.doi.org/10.15388/lmr.2004.32096.

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In this paper a generalization of the discrete-time Ho–Lee model to the trinomial case is considered. The necessary and sufficient conditions for such a bond model to be arbitrage-free and path independent are established.
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Sari, Yunita. "Multimodalitas dalam Gambar Iklan Luwak White Koffie Versi Lee Min-Ho”." Metalingua: Jurnal Penelitian Bahasa 15, no. 2 (2018): 235. http://dx.doi.org/10.26499/metalingua.v15i2.73.

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The background of this research is a phenomenon about Indonesia coffee advertisementusing a well-known South Korean actor as its brand ambassador. The problemof this study is how multimodality in Luwak White Koffie Lee Min-Ho version advertisementposter is presented on their official Facebook page during 2016. Thepurpose of this paper is to analyze the hidden meaning within such advertisementposted on their official Facebook page during 2016 as a main source, using qualitativemethod and Kress and van Leeuwen’s social semiotics theories about multimodalitywith three metafunctions, namely repres
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Grant, Dwight, and Gautam Vora. "Analytical implementation of the Ho and Lee model for the short interest rate." Global Finance Journal 14, no. 1 (2003): 19–47. http://dx.doi.org/10.1016/s1044-0283(03)00003-6.

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Abaffy, Jozsef, Marida Bertocchi, and Adriana Gnudi. "Extensions of the Ho and Lee interest-rate model to the multinomial case." European Journal of Operational Research 163, no. 1 (2005): 154–69. http://dx.doi.org/10.1016/j.ejor.2004.01.005.

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Flesaker, Bjorn. "Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing." Journal of Financial and Quantitative Analysis 28, no. 4 (1993): 483. http://dx.doi.org/10.2307/2331161.

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Dissertations / Theses on the topic "The Ho-Lee model"

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Lawson, Benjamin I. "An Exposition and Calibration of the Ho-Lee Model of Interest Rates." Scholarship @ Claremont, 2015. http://scholarship.claremont.edu/cmc_theses/1061.

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The purpose of this paper is to create an easily understandable version of the Ho-Lee interest rate model. The first part analyzes the model in detail, and the second part calibrates it to demonstrate how it can be applied to real market data.
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Senturk, Huseyin. "An Empirical Comparison Of Interest Rate Models For Pricing Zero Coupon Bond Options." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/3/12609786/index.pdf.

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The aim of this study is to compare the performance of the four interest rate models (Vasicek Model, Cox Ingersoll Ross Model, Ho Lee Model and Black Der- man Toy Model) that are commonly used in pricing zero coupon bond options. In this study, 1{5 years US Treasury Bond daily data between the dates June 1, 1976 and December 31, 2007 are used. By using the four interest rate models, estimated option prices are compared with the real observed prices for the begin- ing work days of each months of the years 2004 and 2005. The models are then evaluated according to the sum of squared errors. Optio
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Raj, Mahendra. "Discrete stochastic arbitrage models for pricing options on short and long term yields: Tests of the Ho and Lee and the Black, Derman and Toy models." Diss., The University of Arizona, 1992. http://hdl.handle.net/10150/186107.

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The Chicago Board of Options Exchange introduced the short-term and the long-term options on interest rates in June, 1989. This paper develops versions of the Ho and Lee and the Black, Derman and Toy models, two of the most popular arbitrage based discrete stochastic term structure models, and conducts joint tests of the models and the option markets. Both parametric and non-parametric tests are employed. The data consist of the prices of these options and the term structure of interest rates from June, 1989 to June, 1992. The prices of the short and long-term interest options have been obtain
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Pan, Jiun-Hsiun, and 潘俊賢. "A Study of Ho and Lee Interest Rate Model." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/38512560694268719659.

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Chen, Po-Hua, and 陳勃華. "Study of Valuing Interest Rate Derivatives Applying Ho & Lee Model." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/64676854150445384031.

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碩士<br>國立臺灣大學<br>財務金融學系<br>86<br>This study applies the Ho & Lee model to value interest rate derivatives. The advantages of Ho & Lee model include：1. It is easy to apply and extend to various time length, and 2. the current term structure of interest rates is taken as input so that it is consistent to the current business environment. The main themes of this study include：1. Using the simple regression method and the calibration approach to estimate the parameters of Ho & Lee model. 2. Sim
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Book chapters on the topic "The Ho-Lee model"

1

Svoboda, Simona. "The Ho and Lee Model." In Interest Rate Modelling. Palgrave Macmillan UK, 2004. http://dx.doi.org/10.1057/9781403946027_10.

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Chu, C. Y. Cyrus. "Occupation-Specific Population Models: Population and Dynastic Cycles." In Population Dynamics. Oxford University Press, 1998. http://dx.doi.org/10.1093/oso/9780195121582.003.0014.

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As Lee (1987) pointed out, vital rates of the human population are often determined by forces such as culture, institutions, technology, and individual rationality, forces that have little to do with density pressure or prior growth. Perhaps most people also expect “rational” human practice to weaken the biological responses of both fertility and mortality to density pressure, while strengthening the nonbiological response through institutional regulations. But can human institutional designs and rational responses really reduce the impact of natural checks? As we study the pattern of populati
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"No-Arbitrage Models of the Term Structure: Ho-Lee and Heath-Jarrow-Morton." In Essays in Derivatives. John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266885.ch59.

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You might also be interested in the extended bibliographies on the topic 'The Ho-Lee model' for particular source types:
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