Solutions fundamentals of futures and options markets 7e by hull chapter 21

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Ngày đăng: 28/02/2018, 13:38

... 6.71% and the cap rate is 8% has zero cost Problem 21. 15 Show that where V1 is the value of a swaption to pay a fixed rate of RK and receive LIBOR between times T1 and T2 , f is the value of a... forward swap to receive a fixed rate of RK and pay LIBOR between times T1 and T2 , and V2 is the value of a swaption to receive a fixed rate of RK between times T1 and T2 Deduce that V1  V2 when... 93 and there will be no payoff from the option If the threemonth LIBOR is less than 7%, one Eurodollar futures options provide a payoff of $25 per 0.01% Each 0.01% of interest costs the corporation
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