Suppose that a 0.1 and b=0.1 in both the Vasicek and the Cox, Ingersoll, Ross model. In

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 A is 0.02/Ar. Compare the prices given by the models for a zero-coupon bond that matures in year 10.P-987 

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

Step by Step Answer:

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