I am trying to understand how does one define $f(t,r(t))=exp(α*t)r(t)$ to solve the SDE for Hull and White short rate model : $dr(t) = [v(t) − a*r(t)]dt+σdW(t)$,
using Ito's Lemma. Any help is appreciated
I am trying to understand how does one define $f(t,r(t))=exp(α*t)r(t)$ to solve the SDE for Hull and White short rate model : $dr(t) = [v(t) − a*r(t)]dt+σdW(t)$,
using Ito's Lemma. Any help is appreciated
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