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Find the price of a six-month European call option with a strike $960 on a six-month $1,000 face zero-coupon bond. Assume 1-year spot rate is
Find the price of a six-month European call option with a strike $960 on a six-month $1,000 face zero-coupon bond. Assume 1-year spot rate is (1) = 8.4%, 6-month forward rate is r(0.5) = 8%, and 1-year forward rate r(1) can be either 10% or 6%
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