A two-year zero-coupon bond has a par value 100 and is priced to yield 5%...
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Finance
A two-year zero-coupon bond has a par value 100 and is priced to yield 5% per year. The annual risk-free interest rate is 3%. Calculate the approximate premium of a put option on the firms assets, assuming Mertons (1974) model.
a.
$3.69
b.
$9.72
c.
$10
d.
$5.15
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