Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor
Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor
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DOI：
10.1007/s10690-007-9039-8
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发表时间：
2006-06
影响因子：
1.7
通讯作者：
J. Akahori;Hiroki Aoki;Yoshihiko Nagata
中科院分区：
文献类型：
--
作者：
J. Akahori;Hiroki Aoki;Yoshihiko Nagata
本文提出了Ho-Lee模型的多因素推广。与经典的Ho-Lee形成鲜明对比的是，这种推广允许除了平行移动之外的运动，同时它仍然是由重组树描述的，并且是一个与主成分分析兼容的平稳独立增量的过程。在此基础上，对基于持续时间的套期保值进行了推广。讨论了模型的连续时间极限。
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 a process with stationary independent increments 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.