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If you have a Bloomberg terminal, you have several options including writing a few Excel functions to dump the data you need to produce these calculations (see =BDH() ). Based on what I can glean from the question, you do not have that option. I'd try Yahoo finance for historical asset price data -- should be able to pull down the TBill rate AND the stock ...


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This is a commonly seen problem, and also relates to situations in which one is dealing with some less-liquid underlyings. I will describe a method that you could think of as "stochastic backfilling" - it uses the "Correlated Brownian Bridge" technique. There are many references for the standard BB technique on the web. Let us assume we have one data ...



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