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should be answered by building ann = n=10-period binomial model for the short-rate,r_{i,j} ri,j . The lattice parameters are:r_{0,0} = 5% r0,0 =5%,u = 1.1
should be answered by building ann =
n=10-period binomial model for the short-rate,r_{i,j}
ri,j
. The lattice parameters are:r_{0,0} = 5\%
r0,0
=5%,u = 1.1
u=1.1,d = 0.9
d=0.9andq =1-q = 1/2
q=1q=1/2.
Compute the price of a zero-coupon bond (ZCB) that matures at timet = 10
t=10and that has face value 100.
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