Question
The value of a derivative that pays off $100 after one year if a company has defaulted during the year is $3. The value of
The value of a derivative that pays off $100 after one year if a company has defaulted during the year is $3. The value of a derivative that pays off $100 after one year if a company has not defaulted is $95.What is the risk-free rate? What is the risk neutral probability of default?
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Unlimited Business Financing
Authors: Trent Lee, Dr Chad Lee
1st Edition
1934275050, 9781934275054
