Exercise 24.2.8 Derive the liquidity premium and the forward rate for the Merton model. Verify that the

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Exercise 24.2.8 Derive the liquidity premium and the forward rate for the Merton model. Verify that the forward rate goes to minus infinity as the maturity goes to infinity.

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

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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 24.2.8 Derive the liquidity premium and the forward rate for the Merton model. Verify that the forward rate goes to minus infinity as the maturity goes to infinity.
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Exercise 24.2.8 Derive the liquidity premium and the forward rate for the Merton model. Verify that the

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Financial Engineering And Computation Principles Mathematics Algorithms

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