Wednesday, July 18, 2018

option pricing - Ito lemma of Convertible Bond under Two-factor Model Interest Rate


@Behrouz Maleki has provided the PDE of two factor model in other post so could anyone please provide Ito lemma of this equation and how this PDE was derived from Vasicek model. as far as I know it is by constructing a portfolio. right?




No comments:

Post a Comment

technique - How credible is wikipedia?

I understand that this question relates more to wikipedia than it does writing but... If I was going to use wikipedia for a source for a res...