Vasicek model call option. In finance, the Vasicek model is a mathematical model describing the evolution of interest rates. It is a type of one-factor short rate model as it describes interest rate movements as driven by only one source of market risk. The model can be used in the valuation of interest rate derivatives, and has also been adapted for.

Vasicek model call option. If the term structure model is Vasicek's model there is a solution for the price of an option on a zero coupon bond, due to Jamshidan (). Under Vacisek's model the process for the short rate is assumed to follow. \begin{displaymath}dr We now want to consider an European Call option in this setting. Let $P(t,s)$ be the.

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