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2. Use the following interest rate tree to value a 2-year interest rate put option with $10 million notional. The exercise rate is 5%. Show
2. Use the following interest rate tree to value a 2-year interest rate put option with $10 million notional. The exercise rate is 5%. Show all your work. Year 1 Year 2 3% Today 5% 4% 5% 3% 4% Show all your work
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Principles Of Investments
Authors: Alan Marcus, Zvi Bodie, Michael Drew, Anup Basu, Alex Kane
1st Edition
0071012389, 978-0071012386
