<t>Your favorite baseball team is playing against your uncle's favorite team in theWorld Series. At the beginning of each game, you and your uncle bet on the game's outcome.Your uncle, being wealthy and carefree, always lets you choose the amount of the bet. Ifyou bet b dollars and your team wins th...

bzhang@ldfm.comcheers

<t>we know the vol of ZCB in hull white model is sigma*(1-exp(-a*M))/awhere a is mean reversion parameter, it should be near to 0, like 1% or 2%, and M is maturity of ZCB.so if M is long, say 20 years, this vol is quite high, why is happen? can we use this model to work out long term vol of ZCB?feel...

<t>we know the vol of ZCB in hull white model is sigma*(1-exp(-a*M))/awhere a is mean reversion parameter, it should be near to 0, like 1% or 2%, and M is maturity of ZCB.so if M is long, say 20 years, this vol is quite high, why is happen? can we use this model to work out long term vol of ZCB?feel...

<t>we know the vol of ZCB in hull white model is sigma*(1-exp(-a*M))/awhere a is mean reversion parameter, it should be near to 0, like 1% or 2%, and M is maturity of ZCB.so if M is long, say 20 years, this vol is quite high, why is happen? can we use this model to work out long term vol of ZCB?feel...

dr=(mu-a*r)dt+sigma*dwhow to calibrate a in real market? dose anyone have any idea?

but i can't get the price of the option on ZCB from market. could you give me?

I need implied vols to test my program, but i can't find in market. could anyone give me some suggest about this?feel free to comment this. thanks