Vasicek model - Bond price and volatility

Question

Why does the bond price under the Vasicek model increase as the rate volatility increases? What is the intuition behind this?

Arshdeep · Answer

Intuition is just that the bond price by definition is a convex function of the rates, and the expectation of a convex function increases with volatility. Note that this result is model independent.

Vasicek model - Bond price and volatility

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