Vasicek Model
Ten Simulated Paths of the Vasicek model dX=a(b-X)dt+s dW(t), where a=10, b=0.10, s=0.1, 250 steps and time horizon=1 year.
Left: X(0)=0.01; Center: X(0)=0.1; Right X(0)=0.20.
Ten Simulated Paths of the Vasicek model dX=a(b-X)dt+s dW(t), where a=10, b=0.10, s=0.1, 250 steps and time horizon=1 year.
Left: X(0)=0.01; Center: X(0)=0.1; Right X(0)=0.20.