4766数理金融简单数值题short
Infer Long-Run Mean From a Vasicek Forecast 1
题目
A rates desk uses the Vasicek expectation formula E[r_t] = theta + (r0-theta)e^(-kappa t). It has r0=0.02, kappa=0.6931, and horizon t=1. The model forecast for E[r_t] is 0.03. What long-run mean theta is implied?
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