Suppose that the short rate is currently 4% and its standard deviation is 1% per annum. What

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Suppose that the short rate is currently 4% and its standard deviation is 1% per annum. What happens to the standard deviation when the short rate increases to 8% in

(a) Vasicek's model;

(b) Rendleman and Bartter's model; and

(c) the Cox, Ingersoll, and Ross model?

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:03 AM

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Suppose that the short rate is currently 4% and its standard deviation is 1% per annum. What

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Options Futures And Other Derivatives

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