问题描述:
You own a $1,000-par zero-coupon bond that has 5 years of remaining maturity.You plan on selling the bond in one year,and believe that the required yield next year will have the following probability distribution:
Probability Required Yield
0.1 6.60%
0.2 6.75%
0.4 7.00%
0.2 7.20%
0.1 7.45%
a.What is your expected price when you sell the bond?
b.What is the standard deviation?
Probability Required Yield
0.1 6.60%
0.2 6.75%
0.4 7.00%
0.2 7.20%
0.1 7.45%
a.What is your expected price when you sell the bond?
b.What is the standard deviation?
问题解答:
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