Show from equation (24.9) that if the instantaneous forward rate F(t, T) in the HJM model has

Question:

Show from equation (24.9) that if the instantaneous forward rate F(t, T) in the HJM model has a constant standard deviation then the process for r is the same as in the Ho-Lee model.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question
Question Posted: