Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation

@article{Heath1990BondPA,
  title={Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation},
  author={David Heath and Robert A. Jarrow and A. J. Morton},
  journal={Journal of Financial and Quantitative Analysis},
  year={1990},
  volume={25},
  pages={419 - 440}
}
Abstract This paper studies the binomial approximation to the continuous trading term structure model of Heath, Jarrow, and Morton (1987). The discrete time approximation makes the original methodology accessible to a wider audience, and provides a computational procedure necessary for calculating the contingent claim values derived in the continuous time paper. This paper also extends and generalizes Ho and Lee's (1986) model to include multiple random shocks to the forward rate process and to… 
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References

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