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Ho–Lee model
Known as:
Ho-Lee model
In financial mathematics, the Ho–Lee model is a short rate model widely used in the pricing of bond options, swaptions and other interest rate…
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Related topics
Related topics
7 relations
Binomial options pricing model
Black model
Black–Derman–Toy model
Hull–White model
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2017
2017
Fundamental solution of bond pricing in the Ho-Lee stochastic interest rate model under the invariant criteria
A. Bakkaloglu
,
Burhaneddin Izgi
2017
Corpus ID: 56320748
We study the fundamental solution of bond-pricing in the HoLee stochastic interest rate model under the invariant crit eria. We…
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2017
2017
Another Look at the Ho–Lee Bond Option Pricing Model
Y. S. Kim
,
Stoyan Stoyanov
,
S. Rachev
,
F. Fabozzi
Jurnal derivate
2017
Corpus ID: 62879460
Bond option pricing models come in two forms: equilibrium models and arbitrage-free models. The former start from assumptions…
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2016
2016
Valuation of Game Swaptions under the Generalized Ho-Lee Model
A. Ebina
,
Natsumi Ochiai
,
M. Ohnishi
2016
Corpus ID: 157243752
A game swaption, newly proposed in this paper, is a game version of usual interest-rate swaptions. It provides the both parties…
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2015
2015
An Exposition and Calibration of the Ho-Lee Model of Interest Rates
B. Lawson
2015
Corpus ID: 127924868
The purpose of this paper is to create an easily understandable version of the Ho-Lee interest rate model. The first part…
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2014
2014
Optimal Investment and Consumption Decisions Under the Ho-Lee Interest Rate Model
Hao Chang
,
X. Rong
2014
Corpus ID: 18550414
In this paper, we consider an investment and consumption problem with stochastic interest rate, in which risk-free interest rate…
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2014
2014
1-B-2 Valuation of Callable and Putable Bonds under the Generalized Ho-Lee model : A Stochastic Game Approach
Natsumi Ochiai
,
M. Ohnishi
2014
Corpus ID: 157104106
Callable bonds are bonds which have the possibility that the issuer may do prepayment before its maturity for own convenience…
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2010
2010
Risk modeling and pricing of Euribor futures and options using the Ho-Lee model
Oxana Tiganas
2010
Corpus ID: 155392839
The main purpose of this master thesis, commissioned by NASDAQ OMX is to study the risk neutral valuation of Fixed Income futures…
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2005
2005
WP 2005-5 Term Structure Models with Parallel and Proportional Shifts by
F. Armerin
,
B. A. Jensen
,
T. Björk
2005
Corpus ID: 42357774
We investigate the possibility of an arbitrage free model for the term structure of interest rates where the yield curve only…
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2003
2003
DUAL ANALYSIS ON HEDGING VAR OF BOND PORTFOLIO USING OPTIONS
K. Miyazaki
2003
Corpus ID: 55448998
In this paper, I propose the optimal hedging of bond portfolio VaR using bond options based on dual theory in non-linear…
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1999
1999
Algorithms Behind Term Structure Models of Interest Rates Ii: The Hull-White Trinomial Tree of Interest Rates
Markus Leippold
,
Z. Wiener
1999
Corpus ID: 1832847
In this article we implement the trinomial tree of the Hull-White model, which can be easily extended to allow different…
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