Question: Use the Black s model to value a one - year European put option on a 1 0 - year bond. Assume that the current

Use the Blacks model to value a one-year European put option on a 10-year bond. Assume that the current value of the bond is $125, the strike price is $117.5, the one-year risk-free interest rate is 10% per annum, the bonds forward price volatility is 8% per annum, and the present value of the coupons to be paid during the life of the option is $10.

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