Journal of Finance Vol. 45 No. 1 1990
On Arbitrage‐Free Pricing of Interest Rate Contingent Claims
Abstract
Unlike most interest rate claim models, the Ho‐Lee model utilizes full information on the current term structure. Unfortunately, the model has a major deficiency in that negative interest rates can occur. This article modifies the model such that interest rates are well behaved.
- DOI
- 10.1111/j.1540-6261.1990.tb05091.x
- Volume
- 45
- Issue
- 1
- Pages
- 259-264
- Language
- en
- Sources
- openalex crossref