In the Ho & Lee (1986) Model, Assume That the Initial

question 24

Multiple Choice

In the Ho & Lee (1986) model, assume that the initial curve of zero-coupon rates for one and two years is 6% and 7%, respectively. Assume that the probability of an upshift in discount functions is equal to that of a downshift. If the parameter $\delta = 0.95$ , then the price of a one-year maturity call option on a two-year $100 face value zero-coupon bond in the up node after one year at a strike of $92 will be

• A) 1.10
• B) 1.20
• C) 1.30
• D) 1.40

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Transpersonal Theory

A psychological perspective focusing on the spiritual or mystical aspects of human experience and the potential for personal transformation.

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