Question: Consider a three-year 10% coupon bond with a face value of $100. Suppose that the yield on the bond is 9% per annum with continuous

Consider a three-year 10% coupon bond with a face value of $100. Suppose that the yield on the bond is 9% per annum with continuous compounding, coupons are paid semi-annually. If the yield increases by 1%, what is the duration approximation of the percentage change in bond price?

2.7%

-3.0%

3.0%

-2.7%

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