Suppose a = 0.05, = 0.015, and the term structure is flat at 10%. Construct a
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Suppose a = 0.05, σ = 0.015, and the term structure is flat at 10%. Construct a trinomial tree for the Hull-White model where there are two time steps, each one year in length.
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The time step is 1 so that Also showing that the branching method should change four steps ...View the full answer
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