Compute the maximum price at t = 0, the effective duration, and the duration of the following

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Compute the maximum price at t = 0, the effective duration, and the duration of the following projects if the required rate of return is 6% per annum (expressed as a compounding rate).

a. Annual proceeds received at the end of each of the next 5 years, starting at $50 and inflating by 5% per annum.

b. Three-yearly proceeds each of £100 for a total of three payments (that is, after 3, 6, and 9 years), followed by £1000 received after 10 years.

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Introduction To Actuarial And Financial Mathematical Methods

ISBN: 9780128001561

1st Edition

Authors: Stephen Garrett

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Question Posted: Dec 04, 2023 08:09 AM

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Compute the maximum price at t = 0, the effective duration, and the duration of the following

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In each case we use fi to denote the price that is the present value of proceeds Di ...View the full answer

Introduction To Actuarial And Financial Mathematical Methods

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