Assume a = 0

question 20

Multiple Choice

Assume a = 0.25,b = 0.13,r = 0.06,and σ = 0.25.Using the CIR model,calculate the gamma of a zero coupon bond maturing in 3 years.

• A) 2.14
• B) 2.34
• C) 2.54
• D) 2.74

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