We observe the following spot rate curve. Assume semiannual compounding and $1000 par value. Calculate the prices of six- month and 12-month zero-coupon bonds. period Years Annualized Spot Rate 0.5 6.0000% 6.1496% The binomial tree of the 6-month short-term interest rate is in the table below. Each period represents a six-month time interval. Find the risk-neutral probability p under which the binomial tree model prices the 1-year zero-coupon bond correctly. 0 1 -> 6.5% 6% 1-p 75.5% A put option expires in six months. At the expiration, the put option allows you to sell a 6-month zero-coupon bond with the par value of $1000 at the price of $970. (1) Construct the risk-neutral probability (2) Pricing the put option using the risk-neutral probability (3) Pricing the put option using no-arbitrage pricing method. We observe the following spot rate curve. Assume semiannual compounding and $1000 par value. Calculate the prices of six- month and 12-month zero-coupon bonds. period Years Annualized Spot Rate 0.5 6.0000% 6.1496% The binomial tree of the 6-month short-term interest rate is in the table below. Each period represents a six-month time interval. Find the risk-neutral probability p under which the binomial tree model prices the 1-year zero-coupon bond correctly. 0 1 -> 6.5% 6% 1-p 75.5% A put option expires in six months. At the expiration, the put option allows you to sell a 6-month zero-coupon bond with the par value of $1000 at the price of $970. (1) Construct the risk-neutral probability (2) Pricing the put option using the risk-neutral probability (3) Pricing the put option using no-arbitrage pricing method