Three approaches in obtaining the closed-form solution of the Vasicek bond pricing problem are discussed in this exposition. A derivation based solely on the distri- bution of the short rate process is reviewed. Solving the bond price partial dierential equation (PDE) is another method. In this paper, this PDE is derived via a martingale approach and the bond price is determined by integrating ordinary dierential equations. The bond pricing problem is further considered within the Heath-Jarrow-Morton (HJM) framework in which the analytic solution follows directly from the short rate dynamics under the forward measure.
['Rogemar Mamon']
Three Ways to Solve for Bond Prices in the Vasicek Model