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Suppose the current time is t=0 and the discount factors for years 1,2,3 are as follows: D1=0.94,D2=0.87,D3=0.80 Suppose the short-term interest rate volatility is =1.7%
Suppose the current time is t=0 and the discount factors for years 1,2,3 are as follows: D1=0.94,D2=0.87,D3=0.80 Suppose the short-term interest rate volatility is =1.7% What is the short-term discount factor D1,2 implied by the Ho-Lee model with yearly time steps (h=1) at the node C (i.e., using the standard notation, at the node t=1,j=1 ) ? 0.90980.88830.94000.9413
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