这类似于经典的布莱克-斯科尔斯-默顿期权定价模型（Black-Scholes-Mertonoption model）对价格变动进行的简化，因为我们可以“认为”市场投资者是风险中性的，从而对债券定价。为了使讨论更加具体，我们给出一个两阶段的Ho-Lee模型。假设当前的短期利率是4%。时间步长是一个月，漂移项通过市场价格确定，第一个月θ1 = ...
This model interest rate process has a number of desirable properties: (1) Consistent with historical rate experien...Thomas S.Y. HoSang Bin LeeJournal of Investing
financial model class 1 factor interest rate model issuer/modeler N/A model type relative valuation model risk sources interest rate risk distribution normal economic assumptions arbitrage-free money market measure technical assumptions m=1 key words arbitrage-free interest rate model, time-varying volati...
In what follows we quote the Hull-White 1 factor and Ho-Lee model dynamics and their corresponding Eurodollar convexity adjustment formulas. We then show that, in the special case where the Hull-White mean reversion parameter is zero, the adjustment under the Hull-White and Ho-Lee models is...
financial model class 1 factor interest rate model issuer/modeler N/A model type relative valuation model risk sources interest rate risk distribution normal economic assumptions arbitrage-free money market measure technical assumptions m=1 key words arbitrage-free interest rate model, time-varying volati...
22.n-FactorHo-LeeModel1127 n-FactorHo-LeeModelreferencenumberVersionpublicationdateauthoraffiliationemailaddresslastreviseddatereferencesDescriptionsfinancialmodelclassissuer/modelermodeltyperisksourcesriskdistributioneconomicassumptionstechnicalassumptionskeywordsLinksdatafinancialmodelsInputsyearinitialyieldcurveinitialdiscount...
The generalized Ho-Lee model is an arbitrage-free binomial-lattice interest-rate model. Using the generalized Ho-Lee model as a term structure model of interest rates, we propose an evaluation method of the arbitrage-free price for the game swaptions via a stochastic game formulation, and ...
5) LIFE INSURANCE MODEL WITH STOCHASTIC INTEREST 随机利率寿险模型 6) Lee's model Lee模型 补充资料:随机存取机器模型 算法分析与计算复杂性理论中重要的串行计算模型,简称 RAM。引进它是为了便于从理论上分析计算机串行程序所耗费的时间、空间等资源。一个RAM由k个变址器I1,I2,...,Ik、无穷个普通寄存器R0,...
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Optimum consumption and portfolio rules in a continuous-time model[J]. Journal of Economic Theory, 1971, 3(4): 373-413. [3] Fleming W H, Zariphopoulou T. An optimal investment/consumption model with borrowing[J]. Mathematics of Operations Research,1991, 16(4): 802-822. [4] Vila J ...