On the Generalized Inverse Gaussian Volatility in the Continuous Ho–Lee Model
This paper presents a new model of the term structure of interest rates that is based on the continuous Ho–Lee one. In this model, we suggest that the drift and volatility coefficients depend additionally on a generalized inverse Gaussian (GIG) distribution. Analytical expressions for the bond price...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-04-01
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| Series: | Computation |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2079-3197/13/4/100 |
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