Suppose that a = 0.1, b = 0.08, and a = 0.015 in Vasicek's model with the
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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 one-year European call option on a zero-coupon bond with a principal of $100 that matures in three years when the strike price is $87.
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