Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation
研究Heath-Jarrow-Morton连续交易期限结构模型的二项式近似，使原方法更易用，并提供计算或有债权的程序；同时扩展Ho-Lee模型，加入多随机冲击并分析连续时间极限，揭示其实证局限。
This paper studies the binomial approximation to the continuous trading term structure model of Heath, Jarrow, and Morton (1987). The discrete time approximation makes the original methodology accessible to a wider audience, and provides a computational procedure necessary for calculating the contingent claim values derived in the continuous time paper. This paper also extends and generalizes Ho and Lee's (1986) model to include multiple random shocks to the forward rate process and to include an analysis of continuous time limits. The generalization provides insights into the limitations of the existing empirical implementation of Ho and Lee's model.