What is the delta for this caplet

Reference no: EM131458290

Question: For the single-period evolution in the preceding figure, consider a caplet with maturity time 1 with strike rate k = 0.03.

a. What is the value of this caplet at time 0?

b. What is the delta for this caplet in terms of the three-period zero-coupon bond?

Reference no: EM131458290

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