Time 0 1 1 2 2 2 2 3 3 3 3 Interest Rate Value ro 0.09 ri(H) 0.126 ri(T) 0.093 r2(H, H) 0.172 r2(HT) 0.135 r2(TH) 0.135 r2(T,T) ? r3(H, H, H) 0.168 r3(H, H,T) ? r3(H,T,T) 0.110 r3(T,T,T) ? 1. For Case 1: Fill in the missing entries in our Black-Derman-Toy table: (r2(T,T), r3(H, H,T), r3(T,T, T)). (10 points.) 2. For Case 1: Compute the value Bo at time 0 of a zero-coupon bond that matures at T = 3 with face/redemption value F = 100 . (10 points.) 3. For Case 1: Compute the three-year yield rate y(0,3, ro). (5 points.) 4. For Case 1: Compute the value of a European Call Option on this zero-coupon bond with expiration at time T = 3 and strike K = 90. (10 points.) 5. For Case 1: Compute the value of an American Put Option on this zero-coupon bond with expiration at time T = 1 and strike K = 90. (10 points.) Time 0 1 1 2 2 2 2 3 3 3 3 Interest Rate Value ro 0.09 ri(H) 0.126 ri(T) 0.093 r2(H, H) 0.172 r2(HT) 0.135 r2(TH) 0.135 r2(T,T) ? r3(H, H, H) 0.168 r3(H, H,T) ? r3(H,T,T) 0.110 r3(T,T,T) ? 1. For Case 1: Fill in the missing entries in our Black-Derman-Toy table: (r2(T,T), r3(H, H,T), r3(T,T, T)). (10 points.) 2. For Case 1: Compute the value Bo at time 0 of a zero-coupon bond that matures at T = 3 with face/redemption value F = 100 . (10 points.) 3. For Case 1: Compute the three-year yield rate y(0,3, ro). (5 points.) 4. For Case 1: Compute the value of a European Call Option on this zero-coupon bond with expiration at time T = 3 and strike K = 90. (10 points.) 5. For Case 1: Compute the value of an American Put Option on this zero-coupon bond with expiration at time T = 1 and strike K = 90. (10 points.)