Exercise 5 9 In (g) of Exercises 5 6 and 5 8, we assumed a risk free rate of 2 However the loss should have been written as X V0 eAr(t) B 100 1 100 t 0 r(s)ds, with t 1 12 and 5 12 Can you find the law of Br(t) 6 t 0 r(s)ds, for any positive constant B and any t 0 ...

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Exercise 5.9 In (g) of Exercises 5.6 and 5.8, we assumed a risk-free rate of 2%. However

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Exercise 5.9 In (g) of Exercises 5.6 and 5.8, we assumed a risk-free rate of 2%. However the loss should have been written as X = V0 − eAτ−r(t)∗ Bτ

100

− 1 100 t

0 r(s)ds, with t = 1/12 and τ = 5/12. Can you find the law of Br(t) + 6 t 0 r(s)ds, for any positive constant B and any t ≥ 0?

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Statistical Methods For Financial Engineering

ISBN: 9781032477497

1st Edition

Authors: Bruno Remillard

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Question Posted: Oct 26, 2024 06:01 AM

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Exercise 5.9 In (g) of Exercises 5.6 and 5.8, we assumed a risk-free rate of 2%. However

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Statistical Methods For Financial Engineering

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