1. Use the following interest rate tree to value bonds. The standard deviation of interest rates is 10%. 9.2016% T HH 7.1683% Tor 5.8384% 7.5337% T. . 3.4% 5.8689% T T 4.7801% 6.1680% T HLL 4.8051% TL LL 5.0500% TUL Today Year 1 Year 2 Year 3 Bond Par A B C Coupon rate 5% 5% 5% $100,000 $100,000 $100,000 Maturity Other description years 4 Option-free 4 Puttable at par starting at end of year 1 4 Callable at par starting at end of year 1 What is the value of the put option embedded in Bond B? What is the value of the call option embedded in Bond C? 1. Use the following interest rate tree to value bonds. The standard deviation of interest rates is 10%. 9.2016% T HH 7.1683% Tor 5.8384% 7.5337% T. . 3.4% 5.8689% T T 4.7801% 6.1680% T HLL 4.8051% TL LL 5.0500% TUL Today Year 1 Year 2 Year 3 Bond Par A B C Coupon rate 5% 5% 5% $100,000 $100,000 $100,000 Maturity Other description years 4 Option-free 4 Puttable at par starting at end of year 1 4 Callable at par starting at end of year 1 What is the value of the put option embedded in Bond B? What is the value of the call option embedded in Bond C