When the forward rate volatility s(t, T) in HJM is constant, the Ho-Lee model results. Verify that

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“When the forward rate volatility s(t, T) in HJM is constant, the Ho-Lee model results.”

Verify that this is true by showing that HJM gives a process for bond prices that is consistent with the Ho-Lee model in Chapter 30.P-987

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Options Futures And Other Derivatives

ISBN: 9780273759072

8th Global Edition

Authors: John Hull

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Question Posted: Oct 22, 2024 06:03 AM

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When the forward rate volatility s(t, T) in HJM is constant, the Ho-Lee model results. Verify that

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