Multiple Choice
Assume a = 0.15,b = 0.08,r = 0.05,and 0.30.Using the CIR model,calculate the delta of a zero coupon bond maturing in 5 years.
A) -4.08
B) -3.08
C) -2.08
D) -1.08
Correct Answer:
Verified
Correct Answer:
Verified
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