Some Important Properties, Numerical Examples And Simulations Of Ho And Lee Model
Absztrakt
In this thesis I was considering Ho and Lee model in discrete and continuous case. The aim of the thesis was generating short rates, spot rates and forward rates, from zero coupon bonds in the Ho and Lee model in discrete case. And some simulations of forward rates in continuous case.
Leírás
Kulcsszavak
spot rates, zero coupon bonds, Ho and Lee model, short rates, forward rates