Can the mean-reversion rate in an interest-rate model be (a) Less than 0? (b) Greater than

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Can the mean-reversion rate κ in an interest-rate model be

(a) Less than 0?

(b) Greater than 1?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 18, 2024 05:00 AM

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Can the mean-reversion rate in an interest-rate model be (a) Less than 0? (b) Greater than

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In a common interestrate model known as the Vasicek model the meanreversion rate denoted as represen...View the full answer

Derivatives Principles And Practice

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