18.19. Calculate the price of a cap on the three-month LIBOR rate in nine months' time for...

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18.19. Calculate the price of a cap on the three-month LIBOR rate in nine months' time for a principal amount of $1,000. Use Black's model and the following information: Quoted nine-month Eurodollar futures price = 92 Interest rate volatility implied by a nine-month Eurodollar option = 15% per annum Current 12-month interest rate with continuous compounding = 7.5% per annum Cap rate = 8% per annum

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