Question
Using a 50%; 50% probabilities binary-interest-rate-tree model, and the following assumptions: r0 = 1.000%, rL = 2.000%, rH = 2.443%, volatility = 10%. Calculate the
Using a 50%; 50% probabilities binary-interest-rate-tree model, and the following assumptions: r0 = 1.000%, rL = 2.000%, rH = 2.443%, volatility = 10%. Calculate the price of the 2-year 3.5% option-free bond.
Group of answer choices
103.51
101.64
103.71
105.30
103.54
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Cost Benefit Analysis
Authors: Harry F. Campbell, Richard P.C. Brown
3rd Edition
1032320753, 9781032320755
