Question: 0.015. Suppose that the initial zero- Construct a trinomial tree for the Ho and Lee model, where o = coupon interest rate for a

Construct a trinomial tree for the Ho and Lee model, where o = 0.015. Suppose that the initial zero- coupon interest rate for

0.015. Suppose that the initial zero- Construct a trinomial tree for the Ho and Lee model, where o = coupon interest rate for a maturities of 0.5, 1.0, and 1.5 years are 6%, 6.5%, and 7%. Use two time steps, each six months long. Calculate the value of a zero-coupon bond with a face value of $100 and a remaining life of six months at the ends of the final nodes of the tree. Use the tree to value a one-year European put option with a strike price of 100 on the bond.

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