Calculate the price of a 1-year european call option on a


In the Hull-White model, a = 0:08 and σ = 0:01.

Calculate the price of a 1-year European call option on a zero-coupon bond that will mature in 5 years when the term structure is flat at 10%, the principal of the bond is $100, and the strike price is $68.

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Financial Econometrics: Calculate the price of a 1-year european call option on a
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