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 analyzes the model in detail, and the second part calibrates it to demonstrate how it can be applied to real market data.
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| Format: | Others |
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Scholarship @ Claremont
2015
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| Online Access: | http://scholarship.claremont.edu/cmc_theses/1061 http://scholarship.claremont.edu/cgi/viewcontent.cgi?article=2022&context=cmc_theses |