The paper presents a state dependent multinomial model of intertemporal changes in the term structure of interest rates. The model is a one-factor interest-rate model within the Markov family models for short-term interest rate and it extends the Ho and Lee [J. Finance XLI (5) (1986) 1001] binomial model. We derive the theoretical basis of the multinomial model, suggest a computational framework to evaluate the model's parameters and investigate the suitability of the model for the Italian market.
Extension of the Ho and Lee Interest rate Model to the Multinominal Case
BERTOCCHI, Maria;ABAFFY, Jozsef;GNUDI, Adriana
2005-01-01
Abstract
The paper presents a state dependent multinomial model of intertemporal changes in the term structure of interest rates. The model is a one-factor interest-rate model within the Markov family models for short-term interest rate and it extends the Ho and Lee [J. Finance XLI (5) (1986) 1001] binomial model. We derive the theoretical basis of the multinomial model, suggest a computational framework to evaluate the model's parameters and investigate the suitability of the model for the Italian market.File allegato/i alla scheda:
Non ci sono file allegati a questa scheda.
Pubblicazioni consigliate
Aisberg ©2008 Servizi bibliotecari, Università degli studi di Bergamo | Terms of use/Condizioni di utilizzo
