Question: In the caplet Example 23.6, construct the synthetic caplet using the three-period zero and mma (the caplet has a strike rate of k = 0.04

In the caplet Example 23.6, construct the synthetic caplet using the three-period zero and mma (the caplet has a strike rate of k = 0.04 or 4 percent) Show that the cost of construction is 0.003, the same as that with the two-period zero- bond.

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