Double stochastic integral(!)[pricing ZCB using the Vasiceck Model]

Discussion in 'CT8' started by Edwin, Mar 4, 2012.

  1. Edwin

    Edwin Member

    Double stochastic integral(!)[Vasiceck Model]

    Someone please explain how to simplify this integral directly if possible(!)

    ASET uses a certain technique to evaluate the integral, but I am looking for a direct evaluation.
    [​IMG]

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    (hope it's not one of the ''Only God knows'')
     
    Last edited by a moderator: Mar 9, 2015
    Edwin, Mar 4, 2012
    #1
  2. Edwin

    Edwin Member

    It's been answered:
    [​IMG]

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    http://acted.co.uk/forums/showthread.php?t=6061
     
    Last edited by a moderator: Sep 6, 2012
    Edwin, Mar 19, 2012
    #2
  3. Actu09

    Actu09 Keen member

    I was wondering if someone could help me out with a more mathematical solution,as i got confused with the double integeral...Thanks in advance
     
    Actu09, Apr 16, 2015
    #3

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