Chen, Homing; Hu, Cheng-Feng - In: European Journal of Operational Research 204 (2010) 2, pp. 343-354
This work considers the solution of the Vasicek-type forward interest rate model. A deterministic process is adopted to model the random behavior of interest rate variation as a deterministic perturbation. It shows that the solution of the Vasicek-type forward interest rate model can be obtained...