On Arbitrage‐Free Pricing of Interest Rate Contingent Claims
修改了Ho-Lee利率模型，解决了其可能出现负利率的缺陷，使利率行为更合理。
ABSTRACT Unlike most interest rate claim models, the Ho‐Lee model utilizes full information on the current term structure. Unfortunately, the model has a major deficiency in that negative interest rates can occur. This article modifies the model such that interest rates are well behaved.