Price a zero-coupon bond with maturity one year under the Vasicek model drt = ( rt)dt
Question:
drt = α(μ − rt)dt + σdWt (17.117)
with r0 = 0.01, α = 0.2, μ = 0.01, σ = 0.05.
Maturity
Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest...
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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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