Exercise 26.5.7 When pricing a derivative on bonds under the HJM model, does the tree have to

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Exercise 26.5.7 When pricing a derivative on bonds under the HJM model, does the tree have to be built over the life of the longer-term underlying bond or just over the life of the derivative?

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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 26.5.7 When pricing a derivative on bonds under the HJM model, does the tree have to be built over the life of the longer-term underlying bond or just over the life of the derivative?
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Exercise 26.5.7 When pricing a derivative on bonds under the HJM model, does the tree have to

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Financial Engineering And Computation Principles Mathematics Algorithms

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