Exercise 24.5.1 Justify Eq. (24.15) directly. df (t, T) = (t, T) T t (t,
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Exercise 24.5.1 Justify Eq. (24.15) directly.
df (t, T) =
σ(t, T)
T t σ(t, s) ds
dt −σ(t, T)dW, (24.15)
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Related Book For 
Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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