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yield bond price option price 5.99% 92.6322 0.7003 6.00% 92.5613 0.6879 6.01% 92.4903 0.6756 (1) According to the table above, calculate the DV01 of the

yield bond price option price

5.99% 92.6322 0.7003

6.00% 92.5613 0.6879

6.01% 92.4903 0.6756

(1) According to the table above, calculate the DV01 of the bond and option with yield 6%.

(2) How to hedge a short position of this bond option (face value $1m) by using the bond to make the

portfolio "DV01 neutral"?

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