Question
Price a 2-year, 6% annual coupon bond, using the following interest rate tree for one-year rates. Assume annual compounding. Par is 100. Both states have
Price a 2-year, 6% annual coupon bond, using the following interest rate tree for one-year rates. Assume annual compounding. Par is 100. Both states have equal probabilities of happening.
Round your answer to 2 decimal places. For example, if your answer is 25.689, please write down 25.69
| t = 0 | t = 1 |
|
|
|
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| r_1,H = 8.1% |
| r_0 = 4.4% |
|
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| r_1,L = 6.9% |
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Handbook For Surviving The Global Financial Crisis
Authors: Barbara Goldsmith
1st Edition
1514811995, 978-1514811993
