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Fill out the tree using the vasicek model

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Fill out the tree using the Vasicek Model:

r0=3.5%,k=0.025, θ=5%, σ=1.15% dt=1/12

(1) Create a non-recombining tree. Why is it a non-recombining one?

(2) Adjust the tree in question 2.(1) to a recombining one.

Reference no: EM133073365

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