Use the following arbitrage-free binomial interest rate tree to answer the questions that follow:

a. What is the value of a 3-year Treasury bond with a 9% coupon rate?

b. What is the value of a 2-year call option on a bond that currently has three years to maturity and coupon rate of 9% if the strike price is $98? Assume in this calculation that the current price of the 3-year Treasury bond is the value found in part a.

c. What is the value of a 2-year put option on a bond that currently has three years to maturity and coupon rate of 9% if the strike price is $105? Assume in this calculation that the current price of the 3-year Treasury bond is the value found in part a

9.6030% NHH 8.4814% NH 7.8620% 7.5000% N NHL 6.9440% NL 6.4370% NLL Today Year 1 Year 2 9.6030% NHH 8.4814% NH 7.8620% 7.5000% N NHL 6.9440% NL 6.4370% NLL Today Year 1 Year 2