Answer to Question #294269 in Finance for Rahul Sigh

Question

Background: please start by building an n=10-period binomial model for the short-rate, r_i,j. The lattice parameters are: r_0,0 = 5% u=1.1, d=0.9 and q = 1- q = 1/2.

Compute the price of a zero-coupon bond (ZCB) that matures at time t = 10

t=10 and that has a face value of 100.

Submission Guideline: Give your answer rounded to 2 decimal places. For example, if you compute the answer to be 73.2367%, submit 73.24.

Answer 1

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