Construct the corresponding price tree

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Reference no: EM1334936

Consider the following "rate" tree, which gives the evolution of ½-year rates. The risk-neutral probabilities are 0.5.

Time 0 Time ½ Time 1

6.910%

5.999%

5.535% 5.432%

4.716%

4.270%

Construct the corresponding price tree for the ½-year zeros, 1-year zeros and the 1½-year zeros.

Reference no: EM1334936

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