Template-Type:ReDIF-Paper 1.0  
Title:Continuous-Time Limits in the Generalized Ho-Lee Framework under the Forward Measure
Author-Name: Sommer, Daniel
Author-Email: please search E-Mail here: http://www.wipol.uni-bonn.de/adressen.html
Author-Postal:  
Author-Phone:   
Author-Homepage:        
Classification-JEL:G 12, G 13 
Keywords:Ho/Lee model, forward measure, continuous time limit, trinomial and quattronomial models. 
Abstract: 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 as the continuous time distribution of the continuously compounded
	short rate. Finally it is shown that the trinomial and quattronomial generalizations of the Ho/Lee model by Bühler and
	Schulze are essentially equivalent to the Ho/Lee model as concernes their discrete time properties and their continuous time
	limits. 
Length: pages
Creation-Date: 1994-04
Revision-Date: 1996-07
Handle: RePEc:bon:bonsfb:276
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb276.pdf
File-Format: application/pdf
File-Size: 291527 bytes