One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities

John Hull and Alan White
Authors registered in the RePEc Author Service: Alan White and Alan White ()

Journal of Financial and Quantitative Analysis, 1993, vol. 28, issue 2, 235-254

Abstract: This paper compares different approaches to developing arbitrage-free models of the term structure. It presents a numerical procedure that can be used to construct a wide range of one-factor models of the short rate that are both Markov and consistent with the initial term structure of interest rates.

Date: 1993
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Citations: View citations in EconPapers (135)

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Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:28:y:1993:i:02:p:235-254_00

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