Three Ways to Solve for Bond Prices in the Vasicek Model
نویسندگان
چکیده
منابع مشابه
Three ways to solve for bond prices in the Vasicek model
Three approaches in obtaining the closed-form solution of the Vasicek bond pricing problem are discussed in this exposition. A derivation based solely on the distribution of the short rate process is reviewed. Solving the bond price partial differential equation (PDE) is another method. In this paper, this PDE is derived via a martingale approach and the bond price is determined by integrating ...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics and Decision Sciences
سال: 2004
ISSN: 1173-9126
DOI: 10.1207/s15327612jamd0801_1