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Consider American-style call options on a bond. The options expire in 60 days. The bond is currently at $1.05 per $1 par and makes no
Consider American-style call options on a bond. The options expire in 60 days. The bond is currently at $1.05 per $1 par and makes no cash payments during the life of the option. The risk-free rate is 5%. Assume that the contract is on $1 face value bonds. Calculate the lower boundary of the call, if the strike price of the call is $0.9.
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