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Time 0 Time 1 Time 2 8.167% 4.646% 2.0% 6.051% 3.442% o out of 4 poi Based on the risk-free interest rate tree below, what

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Time 0 Time 1 Time 2 8.167% 4.646% 2.0% 6.051% 3.442% o out of 4 poi Based on the risk-free interest rate tree below, what is the value of the put option on the following two-years to maturity risky bond? Coupon Rate = 5% Coupon Frequency = Annual Face Value = $100 Put Price = $100 OAS Spread = 100 bps pastedGraphic.png Selected Answer: 1.15 D. Answers: 0.18 A. 2.20 B. 0.30 C. 1.15 D

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