Consider the Vasicek Model under risk neutral probability measure: drt = ( rt)dt + dWt
Question:
drt = α(μ − rt)dt + σ dWt (16.3)
with r0 = 0.01, α = 0.2,μ = 0.01, σ = 0.05.
Write a Matlab program to simulate a sample path of rt from t = 0 to t = 1.
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clear all 2clc 3m84 4 dt1m sr00...View the full answer
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Related Book For 
An Introduction to the Mathematics of Financial Derivatives
ISBN: 978-0123846822
3rd edition
Authors: Ali Hirsa, Salih N. Neftci
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