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Basic Question 9 of 12
Continue with the previous question. Show that the payoff is equivalent to that of a call option on a bond with an exercise price of $1 (the par value of the bond).
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You have a wonderful website and definitely should take some credit for your members' outstanding grades.
Colin Sampaleanu
Learning Outcome Statements
describe how the Black model is used to value European options on futures;
describe how the Black model is used to value European interest rate options and European swaptions;
CFA® 2025 Level II Curriculum, Volume 5, Module 32.