un 2 00 6 Generalizations of Ho - Lee ’ s binomial interest rate model I : from one - to multi - factor
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چکیده
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 continuous-time limit of the model is also discussed.
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تاریخ انتشار 2006