a. What factors affect the modified duration of an interest-rate option? b. Deep-in-the-money option always provides a
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a. What factors affect the modified duration of an interest-rate option?
b. Deep-in-the-money option always provides a higher modified duration for an option than a deep-out-of-the-money option. Comment.
c. The modified duration of all options is positive. Is this statement correct?
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