Calculate the value of a one year option on a bond that is


Suppose that a = .1 , b = 0.8 and sigma = 0.015 in the Vasicek Model and the initial short-term interest rate = 3%. Calculate the value of a one year option on a bond that is currently 3 years to maturity. Suppose that the bond has a 2% coupon and is currently priced at 99 (par value = 100).

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Financial Management: Calculate the value of a one year option on a bond that is
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