Question
10.23 9.56 8.91 8.83 7.8 7.21 7.1 7.41 6.97 6.35 a) Use the interest rate tree above 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 interest rate tree above 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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Introduction To Institutions Management And Investments
Authors: Herbert Mayo
10th International Edition
1111820643, 9781111820640
