Find the Payoff of an Interest Rate Call Option on the Annual

question 57

Multiple Choice

Find the payoff of an interest rate call option on the annual rate with an exercise rate of 10 percent if the one-period rate at expiration is 11 percent.(No days/360 adjustment is necessary and assume a $1 notional amount. )

• A)0.12
• B)zero
• C)0.01
• D)0.0090
• E)none of the above

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