Hot answers tagged stochastic-volatility
For starters, the short rate model you mention in equation (1) is Cox-Ingersoll-Ross while the bond price in equations (2)-(4) correspond to the Vacisek model. So there is a problem somewhere, I would go for a typo in (1). Second, what you wrote seems fine to me, so there must definitely be yet another typo in your solution manual. Note that if there is no ...
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