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

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  • Hull, John
  • White, Alan
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.

Suggested Citation

  • Hull, John & White, Alan, 1993. "One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(2), pages 235-254, June.
    • Handle: RePEc:cup:jfinqa:v:28:y:1993:i:02:p:235-254_00
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