EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"trinomial and quattronomial models"
Narrow search

Narrow search

Year of publication
Subject
All
Ho/Lee model 1 continuous time limit 1 forward measure 1 trinomial and quattronomial models 1
Online availability
All
Free 1
Type of publication
All
Book / Working Paper 1
Language
All
English 1
Author
All
Sommer, Daniel 1
Institution
All
University of Bonn, Germany 1
Published in...
All
Discussion Paper Serie B 1
Source
All
RePEc 1
Showing 1 - 1 of 1
Cover Image
Continuous-Time Limits in the Generalized Ho-Lee Framework under the Forward Measure
Sommer, Daniel - University of Bonn, Germany - 1994
The forward measure in the discrete time Ho/Lee model is derived and passages to the continuous time limit are carried out under this measure. In particular the continuous time valuation formula for call options on zero coupon bonds is obtained as a limit of its discrete time equivalent as well...
Persistent link: https://www.econbiz.de/10005032171
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...