Assume annual compounding.The one-year and two-year zero-coupon rates in the BDT model are 6% and 7%.The volatility is given to be $\sigma = 0.30$ .What is the price of a one-year maturity put option on a 7.5% coupon (annual pay)bond at a strike of $100 (ex-coupon)?
A)1.00
B)1.08
C)1.16
D)1.24

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The Answer of Assume annual compounding.The one-year and two-year zero-coupon rates in the BDT model are 6% and 7%.The volatility is given to be $\sigma = 0.30$ .What is the price of a one-year maturity put option on a 7.5% coupon (annual pay)bond at a strike of $100 (ex-coupon)?
A)1.00
B)1.08
C)1.16
D)1.24

Assume Annual Compounding σ=0.30\sigma = 0.30σ=0.30 What Is the Price of a One-Year Maturity Put Option

Assume Annual Compounding $\sigma = 0.30$ What Is the Price of a One-Year Maturity Put Option