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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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I used your notes and passed ... highly recommended!
Lauren
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.