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Pull it from your bloomberg terminal. If you don't have one, get one.


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So I have a "+" sign for the second term (not negative) dr =r[(θ(t)+ d(lnσ)/dt * lnr + 1/2*σ^2)dt + σdW] I left out the subscript t's..... You can let V = log r then Apply Ito and solve for A and B... where B = r*σ


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Here is a related previous StackExchange question: Modelling with negative interest rates Also, it seems that Black-Scholes option pricing breaks down.



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