European Option on Zero Coupon Bond under Vasicek Model

Posted by Fred

Option on Zero Coupon Bond

Input:
Speed of reversion (a)
Long term mean level (b)
Instantaneous volatility (sigma)
Time to maturity of option
Time to maturity of bond
Face value of bond
Strike price (K)
Initial interest rate (r) %
Output:
Price of Option

The calculation is based on Vasicek model, dr=a(b-r)dt+sigma*dw

Tagged: Zero Coupon Bond Calculator, Short Rate Model, Vasicek Model

 •  Mar 16, 2014  • 

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