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Results tagged with ornstein-uhlenbeck
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user 24336
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Affine Structure Resolution for the Vasicek model
We begin with the equation $1+B_t(t,T)-kB(t,T) = 0 \quad(1)$
\begin{align}
(1) & \iff e^{-kt}+e^{-kt}B_t(t,T)+(-k)e^{-kt}B(t,T) = 0 \\
& \iff e^{-kt}+ \frac{\partial}{\partial t}\left(e^{-kt}B(t,T)\ri …
- 1,043