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  1. P

    Limitations of the Delta- Normal approach

    Kindly explain what is meant by delta-normal model understates the probability of high option values and understates the probability of low option values. Thank you.
  2. P

    Effective duration & convexity

    Which is nearest to, respectively, the effective duration and effective convexity of a 15- year bond that pays a 9.0% semi-annual compound and yields 12.0% per annum with semiannual compounding?
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