Show that for the Ho-Lee model the (risk-neutral) standard deviation of the one-period rate is exactly (b_{k}

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Show that for the Ho-Lee model the (risk-neutral) standard deviation of the one-period rate is exactly $b_{k} / 2$.

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Investment Science

ISBN: 9780199740086

2nd Edition

Authors: David G. Luenberger

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Question Posted: Apr 20, 2024 12:12 PM

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Show that for the Ho-Lee model the (risk-neutral) standard deviation of the one-period rate is exactly (b_{k}

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Investment Science

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