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Question
Bonds maturing in 1, 2, and 3 years have prices of 0.9600, 0.9153 and 0.8620, respectively. A 0.9300 strike call on a 1-year bond matures in 1 year with σ = 0.20. What is the price of an 8.0% interest rate caplet that expires in 1 year?A) $0.66
B) $0.76
C) $0.86
D) $0.96
Answer
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Related questions
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