# Tag Info

Could you please verify that I edited your question correctly, i.e. that this is indeed your question. In this case, the Ho-Lee (1986) model reads as $dr=\theta_t dt +\sigma dW_t$. Do you can use $f(t,x)=x$ such that $X_t=r_t$. In this Sense, the Ho-Lee model is a Vasicek model with time dependence. This is further generalised in the model from Hull and ...