Case 1: Consider a Black-Derman-Toy model with the following informa- tion: Interest Rate Time 0 1 1 ro ri(H) ri(T) r2(H, H) r2(H,T) r2(T, H) r2(TT) r3(H, H, H) r3(H, H,T) 13(H, T,T) r3(T,T,T) Value 0.09 0.126 0.093 0.172 0.135 0.135 ? 0.168 ? 0.110 ? 1. For Case 1: Fill in the missing entries in our Black-Derman-Toy table: (r2(T,T), r3(H, H, T), r3(T, T, T)). (10 points.) 2. For Case 1: Compute the value Bo at time 0 of a zero-coupon bond that matures at T = 3 with face/redemption value F 100 . (10 points.) 3. For Case 1: Compute the three-year yield rate y(0,3, ro). (5 points.) 4. For Case 1: Compute the value of a European Call Option on this zero-coupon bond with expiration at time T 3 and strike K = 90. (10 points.) = 5. For Case 1: Compute the value of an American Put Option on this zero-coupon bond with expiration at time T = 1 and strike K - 90. (10 points.) = Case 1: Consider a Black-Derman-Toy model with the following informa- tion: Interest Rate Time 0 1 1 ro ri(H) ri(T) r2(H, H) r2(H,T) r2(T, H) r2(TT) r3(H, H, H) r3(H, H,T) 13(H, T,T) r3(T,T,T) Value 0.09 0.126 0.093 0.172 0.135 0.135 ? 0.168 ? 0.110 ? 1. For Case 1: Fill in the missing entries in our Black-Derman-Toy table: (r2(T,T), r3(H, H, T), r3(T, T, T)). (10 points.) 2. For Case 1: Compute the value Bo at time 0 of a zero-coupon bond that matures at T = 3 with face/redemption value F 100 . (10 points.) 3. For Case 1: Compute the three-year yield rate y(0,3, ro). (5 points.) 4. For Case 1: Compute the value of a European Call Option on this zero-coupon bond with expiration at time T 3 and strike K = 90. (10 points.) = 5. For Case 1: Compute the value of an American Put Option on this zero-coupon bond with expiration at time T = 1 and strike K - 90. (10 points.) =