Exercise 24.7.1 Assume that interest rates cannot be negative. (1) Why should a call on a zero-coupon

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Exercise 24.7.1 Assume that interest rates cannot be negative. (1) Why should a call on a zero-coupon bond with a strike price of $102 be worth zero given a par value of $100? (2) The Black–Scholes formula gives a positive call value. Why?

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

1st Edition

Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 01:01 PM

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Exercise 24.7.1 Assume that interest rates cannot be negative. (1) Why should a call on a zero-coupon

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Financial Engineering And Computation Principles Mathematics Algorithms

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