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Calculate the price of a one-year

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Question - Suppose that the zero-coupon bond prices for one-year, two-year, three-year of maturities are given by 0.97, 0.92, 0.88, respectively. Assume that the bond price has volatility 0.1. Calculate the price of a one-year, European call option on a zero-coupon bond that matures at time 3 (year) with strike price 0.99.

Reference no: EM132943316

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