Consider EQ[A(t n ;t) 2 ] defined in (4.3.68). Show that when t 0we have (Levy, 1992)

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Consider EQ[Ã(tn;t)2] defined in (4.3.68). Show that when t 0 we have (Levy, 1992)

where B = B3 = Eq[(tn; t)] = S (n + 1) 1- e(2r+o)(n+1) At - (1  er 4)[1  e(2r+0)41]' er At-er(n+1) At (1 er

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