Suppose that a = 0.1 and b = 0.1 in both the Vasicek and the Cox, Ingersoll,

Question:

Suppose that a = 0.1 and b = 0.1 in both the Vasicek and the Cox, Ingersoll, Ross model. In both models, the initial short rate is 10% and the initial standard deviation of the short-rate change in a short time At is 0.02/At. Compare the prices given by the models for a zero-coupon bond that matures in year 10.

AppendixLO1

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question
Question Posted: