0.1 Structure & Bond Price
The Ho-Lee Model models the short rate under the martingale measure \(\mathbb{Q}\) as \[ dr_{t}=\Theta(t)dt+\sigma dW_{t}^\mathbb{Q} \] where \(W_{t}^\mathbb{Q}\) is \(\mathbb{Q}\)-BM.
John Robin Inston
September 25, 2026
The Ho-Lee Model models the short rate under the martingale measure \(\mathbb{Q}\) as \[ dr_{t}=\Theta(t)dt+\sigma dW_{t}^\mathbb{Q} \] where \(W_{t}^\mathbb{Q}\) is \(\mathbb{Q}\)-BM.