Question
Use the Black Option Pricing Model to calculate the value of a one year call option on a bond assuming the following term structure: Time
Use the Black Option Pricing Model to calculate the value of a one year call option on a bond assuming the following term structure:
Time Interest rate
1 Yr 6%
2 Yr 7%
3 Yr 8%
The strike price is 95% of Par and the standard deviation of interest rates is 10%.
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Cases in Finance
Authors: Jim DeMello
3rd edition
1259330476, 1259330478, 9781259352652 , 978-1259330476
