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Question
Bonds maturing in 1, 2, and 3 years have prices of 0.9020, 0.8320, and 0.7620, respectively. What is the price of a put option that expires in 1 year that gives you the right to sell a 1-year bond for a price of 0.9200? Assume σ = 0.18.A) $0.35
B) $0.25
C) $0.15
D) $0.05
Answer
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Related questions
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