Suppose that the spread between the yield on a 3-year zero-coupon riskless bond and a 3-year zero-coupon
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Suppose that the spread between the yield on a 3-year zero-coupon riskless bond and a 3-year zero-coupon bond issued by a corporation is 1%. By how much does Black- Scholes-Merton overstate the value of a 3-year European option sold by the corporation. Lop58
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