Question
10.23 9.56 8.91 8.83 7.8 7.21 7.1 7.41 6.97 6.35 a) Use the adjacent interest rate tree to price an 8% coupon 4-Year $100 Par
| 10.23 | |||
| 9.56 | |||
| 8.91 | 8.83 | ||
| 7.8 | 7.21 | ||
| 7.1 | 7.41 | ||
| 6.97 | |||
| 6.35 |
a) Use the adjacent interest rate tree to price an 8% coupon 4-Year $100 Par bond. The bond is puttable at the end of Year 1 for a price of $99.75, at the end of Year 2 for $99.85, and at the end of Year 3 at Par.
b) What is the option value?
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Financial Markets And Institutions
Authors: Frederic S. Mishkin
2nd Edition
0321014650, 9780321014658
