Exercise 26 4 2 Verify approximation (26 12) E e$r (i 1) t $r (i) r j er j t 1i, j ( t)2 2( t)3 2 (26 12) ...

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Exercise 26.4.2 Verify approximation (26.12). E e$r (i+1) t $r (i) = r j

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Exercise 26.4.2 Verify approximation (26.12).

Eπ
e−$r (i+1)t $r (i) = r j
≈ e−r jt
1−μi, j (t)2 + σ2(t)3 2
. (26.12)

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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 28, 2024 05:02 AM

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Exercise 26.4.2 Verify approximation (26.12). E e$r (i+1) t $r (i) = r j er j t 1i, j ( t)2 + 2( t)3 2 . (26.12)
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Exercise 26.4.2 Verify approximation (26.12). E e$r (i+1) t $r (i) = r j

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Financial Engineering And Computation Principles Mathematics Algorithms

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