Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor
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چکیده
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un 2 00 6 Generalizations of Ho - Lee ’ s binomial interest rate model I : from one - to multi - factor
In this paper a multi-factor generalization of Ho-Lee model is proposed. In sharp contrast to the classical Ho-Lee, this generalization allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is stationary to be compatible with principal component analysis. Based on the model, generalizations of duration-based hedging are proposed. A continu...
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ژورنال
عنوان ژورنال: Asia-Pacific Financial Markets
سال: 2007
ISSN: 1387-2834,1573-6946
DOI: 10.1007/s10690-007-9039-8