Question #85
Reading: Reading 27 Valuation and Analysis of Bonds With Embedded Options
PDF File: Reading 27 Valuation and Analysis of Bonds With Embedded Options.pdf
Page: 27
Status: Unattempted
Question
Using the following binomial interest rate tree, calculate the value of a two-year, 2.5% putable bond. The American style embedded put option can be exercised anytime and has a strike price of 99. The value is closest to: 3.75% 3.175% 2.665%
Answer Choices:
A. 97.92
B. 99.00
C. 98.75
No explanation available for this question.