18) Specifying the Bond Model Flashcards
(6 cards)
1
Q
What is the market price of risk in bond pricing, and how does it appear in the bond’s SDE
A
2
Q
What is the Vasicek model for interest rates and what type of process does it represent
A
3
Q
What is the bond pricing PDE under the Vasicek model
A
4
Q
What is the form of the solution for a zero-coupon bond under the Vasicek model
A
5
Q
What is the bond pricing PDE under the CIR model
A
6
Q
What is the form of the solution for a zero-coupon bond under the CIR model
A
