Question: Use the term structure lattice model (from t=0 to t=3) below to price the bond derivatives in the followin questions. 2.0% (1-p) 2.3% 1.9%

Use the term structure lattice model (from t=0 to t=3) below to price the bond derivatives in the followin

Use the term structure lattice model (from t=0 to t=3) below to price the bond derivatives in the followin questions. 2.0% (1-p) 2.3% 1.9% The upper probability is: 2.5% 2.1% 1.8% P=0.5 2.6% 2.2% Compute the value of ZCB3. (Round your answer to the fourth decimal place) 2.0% 1.5%

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