31 28 Suppose that the (CIR) process for short rate movement in the (traditional) risk neutral world is dr a(b r)dt o r dz and the market price of interest rate risk is (a) What is the real world process for r (b) What is the expected return and volatility for a 10 year bond in the risk neutral wo...

a The volatility of r Coefficient of rdz in the process for r is sq ...

31.28. Suppose that the (CIR) process for short-rate movement in the (traditional) risk-neutral world is dr...

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Fundamental Accounting Principles Volume II

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31.28. Suppose that the (CIR) process for short-rate movement in the (traditional) risk-neutral world is dr...

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