Question
Use the Black's model to value a one-year European put option on a 10-year bond. Assume that the current value of the bond is $125,
Use the Black's model to value a one-year European put option on a 10-year bond. Assume
that the current value of the bond is $125, the strike price is $110, the one-year interest rate is
10% per annum, the bond's forward price volatility is 8% per annum, and the present value of
the coupons to be paid during the life of the option is $10.
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Options Futures and Other Derivatives
Authors: John C. Hull
10th edition
013447208X, 978-0134472089
