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