Bond Option price in vasicek using direct forward rate simulation [Excel VBA]

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Bond Option price in vasicek using direct forward rate simulation
Submitter: vanna	Date: 2008/7/10

Description: Here I have tried doind MC simulation of short rate under forward measure using analytical formula for Expected mean and variance of short rate under forward measure.(The formulas are given in Brigo's book) During each simulation I am generating a random variable with Ert_T and varrt_T, and use bond price formula to cache initial A(t,T) and B(t,T) values. where Ert_T : Expected value of short rate under T-forward measure varrt_T : variance of short rate under T-forward measure Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
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