Models studied in the previous chapters specify the movement of the shortterm interest rate and thereby endogenously determine the form of term structure (including its initial value). Ho and Lee (HL) [27] developed a model which takes as input, the initial interest rate term structure and derives its subsequent stochastic evolution. Hence the theoretical zero coupon bond prices (that is, those produced by the model) will be exactly consistent with those observed in the market.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
Copyright information
© 2004 Simona Svoboda
About this chapter
Cite this chapter
Svoboda, S. (2004). The Ho and Lee Model. In: Interest Rate Modelling. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9781403946027_10
Download citation
DOI: https://doi.org/10.1057/9781403946027_10
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-51732-9
Online ISBN: 978-1-4039-4602-7
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)