Consider the Vasicek model where the current short-term rate is 2%, the long-run mean is 6%, the
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Vasicek 1977 assumes the following meanreverting process for the shortterm rate Eq 84 dr rdt dz wher...View the full answer
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Related Book For
Financial Theory and Corporate Policy
ISBN: 978-0321127211
4th edition
Authors: Thomas E. Copeland, J. Fred Weston, Kuldeep Shastri
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