标题: Computing short term rate using volatility [打印本页] 作者: luckygiftvn 时间: 2011-7-11 19:37 标题: Computing short term rate using volatility
I want to know how to compute the short term rate given the volatility. Specific problem would be practice question 2 on page 297 of the alternative assets and fixed income book (vol 5). Can it be done or is it just given?作者: SFoyil 时间: 2011-7-11 19:37
* correction, i ment 2 year option free bond, obviously your one year would be valued using the first rate in the tree, r0
