Problem

Calculate the durations and volatilities of securities A, B, and C. Their cash flows are s...

Calculate the durations and volatilities of securities A, B, and C. Their cash flows are shown below. The interest rate is 8%.

 

Period 1

Period 2

Period 3

A

40

40

40

B

20

20

120

C

10

10

110

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Solutions For Problems in Chapter 3