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A 6 year 4.27% coupon bond with an embedded Bermudan call option is trading at 101.03 per $100 of par value. A bond from the
A 6 year 4.27% coupon bond with an embedded Bermudan call option is trading at 101.03 per $100 of par value. A bond from the same company with the same coupon and maturity but without the call provision is trading at 103.58. What is the implied value of the call option embedded in the first bond?
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