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Mathematics, 18.08.2020 03:01 tyraxoxo
Construct a n=10n = 10n=10-period binomial model for the short-rate, ri, jr_{i, j}ri, j. The lattice parameters are: r0,0=5%r_{0,0}= 5\%r0,0=5%, u=1.1u=1.1u=1.1, d=0.9d=0.9d=0.9 and q=1−q=1/2q=1-q=1/2q=1−q=1/2. This is the same lattice that you constructed in Assignment 5. Assume that the 1-step hazard rate in node (i, j)(i, j)(i, j) is given by hij=abj−i2h_{ij} = a b^{j-\frac{i}{2}}hij=abj−2i where a=0.01a = 0.01a=0.01 and b=1.01b = 1.01b=1.01. Compute the price of a zero-coupon bond with face value F=100F = 100F=100 and recovery R=20%R = 20\%R=20%.
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Construct a n=10n = 10n=10-period binomial model for the short-rate, ri, jr_{i, j}ri, j. The lattice...
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