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Use the Fact That the Pseudo-Probability of Default at Time

Question 2

Multiple Choice

Use the fact that the pseudo-probability of default at time zero is (1 / 2) to answer the questions that follow. Use the fact that the pseudo-probability of default at time zero is (1 / 2) to answer the questions that follow. -Consider a floorlet with maturity time 1 and strike price 0.035.What is the time 0 value of the floorlet? A) 0.000000 B) 0.003525 C) 0.003198 D) 0.001696 E) 0.001763
-Consider a floorlet with maturity time 1 and strike price 0.035.What is the time 0 value of the floorlet?


A) 0.000000
B) 0.003525
C) 0.003198
D) 0.001696
E) 0.001763

Correct Answer:

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