Consider an option that expires in 68 days. The bid and ask discounts on the Treasury bill

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Consider an option that expires in 68 days. The bid and ask discounts on the Treasury bill maturing in 67 days are 8.24 and 8.20, respectively. Find the approximate risk-free rate?

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Introduction To Derivatives And Risk Management

ISBN: 9781305104969

10th Edition

Authors: Don M. Chance, Robert Brooks

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Question Posted: Apr 07, 2016 08:31 AM

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Consider an option that expires in 68 days. The bid and ask discounts on the Treasury bill

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The average of the bid and ask discounts is 822 ...View the full answer

Introduction To Derivatives And Risk Management

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