Verify that the DerivaGem software gives Figure 31.11 for the example considered. Use

Chapter 31, Problem 31.26

(choose chapter or problem)

Verify that the DerivaGem software gives Figure 31.11 for the example considered. Use the software to calculate the price of the American bond option for the lognormal and normal models when the strike price is 95, 100, and 105. In the case of the normal model, assume that a 5% and 1%. Discuss the results in the context of the heavy-tails arguments of Chapter 20.

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