Suppose that in a risk neutral world the CIR parameters are a 0 15, b 0 025, and 0 075 What is the price of a 5 year zero coupon bond when the short rate is 2 5 ...

Suppose that in a risk-neutral world the CIR parameters are a = 0.15, b = 0.025, and

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Suppose that in a risk-neutral world the CIR parameters are a = 0.15, b = 0.025, and σ = 0.075. What is the price of a 5-year zero-coupon bond when the short rate is 2.5%?

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:31 PM

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Suppose that in a risk-neutral world the CIR parameters are a = 0.15, b = 0.025, and

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