What form does the bond pricing equation take when the interest rate satisfies the Vasicek model dr ( r)dt 1 2 dX Solve the resulting equations for A and B in this case, to find and 1 z(B T t) (m B) BB 4y A ...

The Vasicek model is a stochastic differential equation used in finance to model the interest rate I ...

What form does the bond pricing equation take when the interest rate satisfies the Vasicek model dr

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What form does the bond pricing equation take when the interest rate satisfies the Vasicek model

dr = (η − γ r)dt + β^1/2dX?

Solve the resulting equations for A and B in this case, to find

and

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Introduces Quantitative Finance

ISBN: 978-0470319581

2nd edition

Authors: Paul Wilmott

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Question Posted: Sep 23, 2020 05:58 AM

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What form does the bond pricing equation take when the interest rate satisfies the Vasicek model dr

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1 z(B -T+t) (m -B) BB? 4y A = |

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Introduces Quantitative Finance

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