1. Find the value of a call option on a zero-coupon bond when the shortterm interest rate...
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1. Find the value of a call option on a zero-coupon bond when the shortterm interest rate is modeled by a Ornstein-Uhlenbeck process. Compute the greeks with respect to α, β, σ, q1, and q2.
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Related Book For 
Statistical Methods For Financial Engineering
ISBN: 9781032477497
1st Edition
Authors: Bruno Remillard
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