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Question
Bonds maturing in 1, 2, and 3 years have prices of 0.9345, 0.8766, and 0.8212, respectively. What is the price of a call option that expires in two years and gives you the right to pay 0.8600 to buy the 1-year bond? Assume σ = 0.15.A) $0.015
B) $0.105
C) $0.205
D) $0.305
Answer
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Related questions
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