Exercise 24.3.4 Show that, under the unbiased expectations theory, P(t, T) = 1

[ 1+r (t) ]{ 1+ Et [ r (t +1) ] } · · · { 1+ Et [ r (T −1) ] }

in discrete time and P(t, T) = e−

 T t Et [ r (s) ] ds in continuous time. (The preceding equation differs from Eq. (24.8), which holds under the local expectations theory.)