Assume a = 0

question 5

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

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