Using the zero-coupon bond prices and oil forward prices in Table 8.9, what is the price of

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Using the zero-coupon bond prices and oil forward prices in Table 8.9, what is the price of an 8-period swap for which two barrels of oil are delivered in even-numbered quarters and one barrel of oil in odd-numbered quarters?
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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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