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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 modelBlack modelBlack–Derman–Toy modelHull–White model

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2017
2017
Another Look at the Ho–Lee Bond Option Pricing Model
Bond option pricing models come in two forms: equilibrium models and arbitrage-free models. The former start from assumptions… 
2016
2016
Valuation of Game Swaptions under the Generalized Ho-Lee Model
A game swaption, newly proposed in this paper, is a game version of usual interest-rate swaptions. It provides the both parties… 
2015
2015
An Exposition and Calibration of the Ho-Lee Model of Interest Rates
The purpose of this paper is to create an easily understandable version of the Ho-Lee interest rate model. The first part… 
2014
2014
1-B-2 Valuation of Callable and Putable Bonds under the Generalized Ho-Lee model : A Stochastic Game Approach
Callable bonds are bonds which have the possibility that the issuer may do prepayment before its maturity for own convenience… 
2012
2012
Pricing of the Bermudan Swaption under the Generalized Ho-Lee Model (Mathematical Decision Making under Uncertainty and Ambiguity, and Related Topics)
2010
2010
Risk modeling and pricing of Euribor futures and options using the Ho-Lee model
The main purpose of this master thesis, commissioned by NASDAQ OMX is to study the risk neutral valuation of Fixed Income futures… 
2005
2005
WP 2005-5 Term Structure Models with Parallel and Proportional Shifts by
We investigate the possibility of an arbitrage free model for the term structure of interest rates where the yield curve only… 
2005
2005
Discrete annuities using truncate stochastic interest rates: the case of a Vasicek and Ho-Lee model
A subject often recurring in the recent financial and actuarial research, is the investigation of present value functions with… 
2002
2002
An implementation of the Ho-Lee model for pricing short term interest rate options
In this work we implement a modified version of the Ho and Lee model for the valuation of interest rate options. The main… 
1997
1997
Ho-Lee model with jump-diffusion process and bond markets
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