An investor has a liability to pay $ ( 1 0 0 , 0 0 0 +

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Question:

An investor has a liability to pay $

(100, 000 + 4, 000

)

at the end of the kth year for k

= 1, 2, . . ., 10 .

Assuming an effective interest rate of

7 %

per annum, find the volatility and convexity of the liability.

Posted Date: May 18, 2024 03:07 PM

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An investor has a liability to pay $ ( 1 0 0 , 0 0 0 +

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