a. What is the 1-year bond forward price in year 1? b. What is the price of
Question:
b. What is the price of a call option that expires in 1 year, giving you the right to pay $0.9009 to buy a bond expiring in 1 year?
c. What is the price of an otherwise identical put?
d. What is the price of an interest rate caplet that provides an 11% (effective annual rate) cap on 1-year borrowing 1 year from now?
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a F P 0 2 P 0 1 84959259 91749 b Using Blacks Formula BSCall 08495 09009 09259 ...View the full answer
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