Q7. Using the arbitrage theorem, find the value of C for the data given So = 90, S1a= 130, S1b = 75, K= 105. Q8.  Derive the first order partial derivative of the Black-Scholes option cost C with respect to r.

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Treasury Market

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to the investor than the off-the-run securities.