Question
In the HullWhite model, a=0.08 and =0.02 . Calculate the price of a one-year European call option on a zero-coupon bond that will mature in
In the HullWhite model, a=0.08 and =0.02 . Calculate the price of a one-year European call option on a zero-coupon bond that will mature in five years when the term structure is flat at 5%, the principal of the bond is $100, and the strike price is $70.
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Options Futures And Other Derivatives
Authors: John C. Hull
11th Edition
013693997X, 9780136939979
