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A Bank has issued 5-year zero coupon bonds that has an unusual feature: which face value of the bonds at maturity depends on the price

A Bank has issued 5-year zero coupon bonds that has an unusual feature: which face value of the bonds at maturity depends on the price of the company's stock price (ST) at maturity.

The specific formula is shown below:

Share price at maturity of bonds in five years (ST)

Payment to Bond holders at Maturity (T = 5)

ST < 40.0

ST

40.0 ST 45.0

40.0

45.0 < ST

ST 5

Assume that the stock price S0 (at the time the bonds are issued) is $40.0. The Call and Put option prices for their respective strikes are given below.

Strike Price

Call Price

Put Price

40.0

20

10

45.0

18

14

Please Find the Price of each bond issued by A Bank.

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