Question
July 23, 2012 at 06:55 PM
anupriyadevi

can anyone help me in writing vba code for this question?

by anupriyadevi . Updated 14 years, 1 month ago

hai, m an actuarial science student. Im finding difficulties in writing VBA code for the following question. Can you help me?

Question:
Simulation of stochastic short rate that follows vasicek or CIR model for pricing of interest rate over 3 years.

Hints given:
Milstein and Euler test,, control variate method,, boyle modification,, variance reduction,, antithetic method,, swap,, one floor one cap with

This discussion is locked

All Comments