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Suppose that the zero-coupon bond prices for one-year, two-year, three-year of maturities are given by 0.97 , 0.92 , 0.88 , respectively. Assume that the

Suppose that the zero-coupon bond prices for one-year, two-year, three-year of maturities are given by 0.97 , 0.92 , 0.88 , respectively. Assume that the bond price has volatility 0.1 . Calculate the price of a one-year, European call option on a zero-coupon bond that matures at time 3 (year) with strike price 0.99 .

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