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elf_fu elf_fu
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7 years ago
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
Textbook 
Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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#1
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7 years ago
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