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(you are required to show your calculation process by Excel or MATLAB.) Let the price of zero-coupon bond that was given as follows: Year to
(you are required to show your calculation process by Excel or MATLAB.)
Let the price of zero-coupon bond that was given as follows:
Year to maturity zero-coupon bond price yield
1 0.9541 4.811%
2 0.8949 5.709%
3 0.8319 6.327%
4 0.7717 6.693%
Assume The bond price at maturity is 1.
Assume interest rate volatility of 0.5% of one year maturity of bonds.
Q1) Based model based on Ho-Lee model, Draw the binomial tree.
Q2) Based model based on Ho-Lee model, Draw the binomial tree by using Nelson-Ramaswamy method.
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