Calculate the value of a 4-year European call option on bond that will mature 5 years from
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Calculate the value of a 4-year European call option on bond that will mature 5 years from today using Black's model. The 5-year colt bond price is $105, the cash price of a 4-year bond with the same coupon is $102, the strike price is $100, the 4-year risk-free interest rate is 10% per annum with continuous compounding, and the volatility for the bond price in 4 years is 2% per annum.
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