New answers tagged

0

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.


0

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


Top 50 recent answers are included