Ho-Lee二项利率模型的推广I：从单因素到多因素
Generalizations of Ho-Lee's binomial interest rate model I: from one- to multi-factor
摘要：
本文提出了Ho-Lee模型的多因素推广。与经典的Ho-Lee方法形成鲜明对比的是，这种推广允许除了平行移位之外的那些运动，同时它仍然由重组树描述，并且是固定的以与主成分分析兼容。在此基础上，提出了基于持续期套期保值的一般化方法。还讨论了模型的连续时间极限。
英文摘要：
In this paper a multi-factor generalization of Ho-Lee model is proposed. In sharp contrast to the classical Ho-Lee, this generalization allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is stationary to be compatible with principal component analysis. Based on the model, generalizations of duration-based hedging are proposed. A continuous-time limit of the model is also discussed.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
