23.9 Ho and lee dr =e(tat odz Many analytic results for bond prices and option prices Interest rates normally distributed One volatility parameter, o all forward rates have the same standard deviation Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 23.9 Ho and Lee dr = q(t )dt + dz • Many analytic results for bond prices and option prices • Interest rates normally distributed • One volatility parameter,  • All forward rates have the same standard deviation