CFA Practice Question

There are 147 practice questions for this study session.

CFA Practice Question

In the binomial interest rate tree, if i1, LL is 1.5%, and the assumed volatility of the one year rate is 15%, i1, HH is:
A. 2.025%
B. 2.446%
C. 2.733%
Explanation: i1, HH = i1, HLe
i1, HL = i1, LLe
i1, HH = i1, LLe

User Contributed Comments 1

User Comment
rleewilson 0.015*e^(4*0.15) = 2.733
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