Suppose that a 0.1, b 0.08, and a 0.015 in Vasicek's model, with the initial value of
Question:
Suppose that a 0.1, b 0.08, and a 0.015 in Vasicek's model, with the initial value of the short rate being 5%. Calculate the price of a 1-year European call option on a zero-coupon bond with a principal of $100 that matures in 3 years when the strike price is $87.P-987
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Question Posted: