New answers tagged self-study
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Check out this article: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=130068
This is done in discrete time which makes it more friendly to calibrate in practice.
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Your model is:
dr_t = (a − b*r_t)*dt + σ * dBt
However, the Vasicek model is:
dr_t = a(b - r_t)*dt + σ * dBt
Can you update the equation and try again?
Typically, a is the mean reversion speed and b is the mean reversion level
https://en.wikipedia.org/wiki/Vasicek_model
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