Exercise . (Call on zero-coupon bonds in Vasiceks model) Figure . shows an example of the relation

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Exercise . (Call on zero-coupon bonds in Vasicek’s model) Figure . shows an example of the relation between the price of a European call on a zero-coupon bond and the current short rate r in the Vasicek model, compare (.). The purpose of this exercise is to derive an explicit expression for ∂C/∂r.

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