Observations spaced at intervals t are taken on the short rate. The ith observation is r i
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Observations spaced at intervals Δt are taken on the short rate. The ith observation is ri (1 ≤ i ≤ m). Show that the maximum likelihood estimates of a, b*, and s in Vasicek’s model are given by maximizing
Transcribed Image Text:
: -r – a(b' – r.1)atF E - In(o²At)- oAt i=1
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The change r i r i 1 is normally distributed ...View the full answer
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