Forward contract has an expiration

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The price of a zero-coupon bond (ZCB) that matures at time t=10 and that has face value 100 is $61.62 The initial price of a futures contract for the same ZCB is $74.82.

Build an n = 10 binomial model lattice model with the following parameters to compute the initial price of a forward contract on the same ZCB. The forward contract has an expiration of
t=4.

r0,0 = 5%
u = 1.1
d = 0.9
q = 1 - q = ½

Reference no: EM132554944

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