{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,3]],"date-time":"2026-04-03T14:47:13Z","timestamp":1775227633912,"version":"3.50.1"},"reference-count":60,"publisher":"MDPI AG","issue":"4","license":[{"start":{"date-parts":[[2025,4,19]],"date-time":"2025-04-19T00:00:00Z","timestamp":1745020800000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Computation"],"abstract":"<jats:p>This paper presents a new model of the term structure of interest rates that is based on the continuous Ho\u2013Lee one. In this model, we suggest that the drift and volatility coefficients depend additionally on a generalized inverse Gaussian (GIG) distribution. Analytical expressions for the bond price and its moments are found in the new GIG continuous Ho\u2013Lee model. Also, we compute in this model the prices of European call and put options written on bond. The obtained formulas are determined by the values of the Humbert confluent hypergeometric function of two variables. A numerical experiment shows that the third and fourth moments of the bond prices differentiate substantially in the continuous Ho\u2013Lee and GIG continuous Ho\u2013Lee models.<\/jats:p>","DOI":"10.3390\/computation13040100","type":"journal-article","created":{"date-parts":[[2025,4,20]],"date-time":"2025-04-20T20:15:06Z","timestamp":1745180106000},"page":"100","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["On the Generalized Inverse Gaussian Volatility in the Continuous Ho\u2013Lee Model"],"prefix":"10.3390","volume":"13","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8944-1253","authenticated-orcid":false,"given":"Roman V.","family":"Ivanov","sequence":"first","affiliation":[{"name":"Laboratory of Control under Incomplete Information, V.A. Trapeznikov Institute of Control Sciences of RAS, Profsoyuznaya 65, 117997 Moscow, Russia"}]}],"member":"1968","published-online":{"date-parts":[[2025,4,19]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"1011","DOI":"10.1111\/j.1540-6261.1986.tb02528.x","article-title":"Term structure movements and pricing interest rate contingent claims","volume":"41","author":"Ho","year":"1986","journal-title":"J. Financ."},{"key":"ref_2","doi-asserted-by":"crossref","first-page":"573","DOI":"10.1093\/rfs\/3.4.573","article-title":"Pricing interest-rate-derivative securities","volume":"3","author":"Hull","year":"1990","journal-title":"Rev. Finan. 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