hull-white model

[georgewhite]

can anyone help me to solve the following question (attached jpg file)

Thanks

 

[doug reich]

Solve the ODEs for a, b, c, and then integrate dr_t and take the expectation and Var (try homogeneous solution of t^n). Use properties of Brownian motions in the integral.

 

[georgewhite]

thanks for the advice. i have tried the way you have suggested but could not get anywhere. is it possible for you to solve it on a paper and upload it. thanks

 

[doug reich]

How far did you get? I don't see anyplace that is so tricky, but I admit to having not done it.

 

[georgewhite]

not much. will it be a trouble for you to have it a go ın solvıng ıt