Use the Fact That the Pseudo-Probability of Default at Time

question 10

Multiple Choice

Use the fact that the pseudo-probability of default at time zero is (1 / 2) to answer the questions that follow.
-Consider a caplet with maturity time 1 and strike price 0.035.What is the time 0 value of the caplet?

• A) 0.000000
• B) 0.003525
• C) 0.003198
• D) 0.000000.
• E) 0.001763

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Definitions:

Sign

An object, quality, or event whose presence or occurrence indicates the probable presence or occurrence of something else.

Sensory Qualities

Characteristics of objects detected and interpreted by the senses, including taste, smell, sound, touch, and sight.

Motivational Changes

Alterations in the direction, intensity, or persistence of an individual's motivation over time.

Physiological Changes

encompass the alterations in the body's internal conditions in response to environmental factors, developmental stages, or health status, affecting various biological systems and functions.