Question
Compute the price of a forward contract on the same ZCB of the previous question where the forward contract matures at timet=4. n = 10-period
Compute the price of a forward contract on the same ZCB of the previous question where the forward contract matures at timet=4.
n=10-period binomial model for the short-rate,ri,j. The lattice parameters are:r0,0=5%,u=1.1,d=0.9andq=1q=1/2.
previous price of ZCB = 61.39.
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Microeconomics: An Intuitive Approach With Calculus
Authors: Thomas Nechyba
2nd Edition
1305650468, 978-1305650466
