Question: In the Hull-White model, a = 0.08 and = 0.01. Calculate the price of a one-year European call option on a zero-coupon bond that

In the Hull-White model, a = 0.08 and σ = 0.01. 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 10%, the principal of the bond is $100, and the strike price is $68.

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