In the mean-reverting Vasicek model (17.47) with (b>0), compute: i) The asymptotic bond yield, or exponential long
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In the mean-reverting Vasicek model (17.47) with \(b>0\), compute:
i) The asymptotic bond yield, or exponential long rate of interest
\[r_{\infty}:=-\lim _{T \rightarrow \infty} \frac{\log P(t, T)}{T-t}\]
ii) The long-bond return \[L_{t}:=\lim _{T \rightarrow \infty} \frac{P(t, T)}{P(0, T)}\]
Start from \(\log (P(t, T) / P(0, T))\).
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Related Book For
Introduction To Stochastic Finance With Market Examples
ISBN: 9781032288277
2nd Edition
Authors: Nicolas Privault
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