You are given the following interest rate tree. Use it when required in the
exercises.
-Using risk neutral pricing obtain the value for a call option on a 1.5 year zero coupon bond with K = 99.00, maturity at t = 1. Assume that p? = 0.7038 is constant over time.

Question

You are given the following interest rate tree. Use it when required in the
exercises. 
-Using risk neutral pricing obtain the value for a call option on a 1.5 year zero coupon bond with K = 99.00, maturity at t = 1. Assume that p? = 0.7038 is constant over time.

Quizplus · Accepted Answer

The Answer of You are given the following interest rate tree. Use it when required in the
exercises. 
-Using risk neutral pricing obtain the value for a call option on a 1.5 year zero coupon bond with K = 99.00, maturity at t = 1. Assume that p? = 0.7038 is constant over time.

You Are Given the Following Interest Rate Tree