You bought an option that limits the interest rate on a future six-month deposit to at least
Question:
(a) If, at the beginning of the six-month period, the interest rate is 11 percent, what is the market value of this option?
(b) What is the option's value if the interest rate turns out to be 8 percent?
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Related Book For
International Finance Putting Theory Into Practice
ISBN: 978-0691136677
1st edition
Authors: Piet Sercu
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