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The price of a zero-coupon bond (ZCB) that matures at time t=10 and that has face...

The price of a zero-coupon bond (ZCB) that matures at time t=10 and that has face value 100 is $61.62

Build an n = 10 binomial model lattice model with the following parameters to compute the price of an American call option on the same ZCB with the expiration t = 6 strike = 80.

r0,0 = 5%

u = 1.1

d = 0.9

q = 1 - q = ½

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jeff jeffy answered 2 years ago
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