Exercise 23.1.2 Let it denote the period interest rate for the period from time t 1 to

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Exercise 23.1.2 Let it denote the period interest rate for the period from time t −1 to t. Assume that 1+it follows a lognormal distribution, ln(1+it ) ∼ N(μ, σ2).

(1)What is the value of $1 after n periods? (2)What are its distribution, mean, and variance?

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Financial Engineering And Computation Principles Mathematics Algorithms

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Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 01:01 PM

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Exercise 23.1.2 Let it denote the period interest rate for the period from time t 1 to

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Financial Engineering And Computation Principles Mathematics Algorithms

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