Deriscope

The Excel Derivatives Periscope

Coverage

Vasicek_Model

Vasicek Model is a child type of Model[Short Rate] that represents a short rate that follows a single-factor stochastic process r according to the SDE:
dr = a(b - r)dt + σdw
where w is a Wiener process and α, b, σ are constants.
A risk premium λ may also be specified.