Suppose that in a risk neutral world the Vasicek parameters are a 0 1, b 0 03, and 0 01 What is the price of a 5 year zero coupon bond with a principal of $1 when the short rate is 2 ...

Suppose that in a risk-neutral world the Vasicek parameters are a=0.1, b = 0.03, and =0.01. What

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Suppose that in a risk-neutral world the Vasicek parameters are a=0.1, b = 0.03, and σ=0.01. What is the price of a 5-year zero-coupon bond with a principal of $1 when the short rate is 2%.

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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 Vasicek parameters are a=0.1, b = 0.03, and =0.01. What

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