Ho-Lee model

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In financial mathematics, the Ho-Lee model is a short rate model of future interest rates. It is the simplest model that can be calibrated to market data, by implying the form of θ_t from market prices.

[edit] The model

The short rate follows a normal process :

[edit] References

• T.S.Y. Ho, S.B. Lee, Term structure movements and pricing interest rate contingent claims, [[Journal of Finance 41, 1986
• John C. Hull, Options, futures, and other derivatives, 5th edition, Prentice Hall, ISBN 0-13-009056-5

This economics or finance-related article is a stub. You can help Wikipedia by expanding it.

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