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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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