Note: Unless otherwise specifified, assume continuous compounding and interest rates are per annum.

You are given the following information: Bond maturity (years) 1 Zero-coupon bond price 0.9636 2 0.9213 3 0.8781 A 1-year European call option gives you the right to purchase a zero- coupon bond that matures at time 3 (year 3) for 0.99. The bond forward price is lognormally distributed with volatility 0.1. Using the Blacks model, calculate the price of the call option. You are given the following information: Bond maturity (years) 1 Zero-coupon bond price 0.9636 2 0.9213 3 0.8781 A 1-year European call option gives you the right to purchase a zero- coupon bond that matures at time 3 (year 3) for 0.99. The bond forward price is lognormally distributed with volatility 0.1. Using the Blacks model, calculate the price of the call option