Exercise 24 5 2 What should p(t, T, P) be like for df (t, T)s diffusion term to have the functional form (t) f (t, T) The dependence of p on P(t, T) is made explicit here ...

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Exercise 24.5.2 What should p(t, T, P) be like for df (t, T)s diffusion term to have

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Exercise 24.5.2 What should σp(t, T, P) be like for df (t, T)’s diffusion term to have the functional form ψ(t) f (t, T)? The dependence of σp on P(t, T) is made explicit here.

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

1st Edition

Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 01:01 PM

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Exercise 24.5.2 What should p(t, T, P) be like for df (t, T)s diffusion term to have the functional form (t) f (t, T)? The dependence of p on P(t, T) is made explicit here.
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Exercise 24.5.2 What should p(t, T, P) be like for df (t, T)s diffusion term to have

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Financial Engineering And Computation Principles Mathematics Algorithms

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