Use a change of numeraire argument to show that the relationship between the futures rate and forward

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Use a change of numeraire argument to show that the relationship between the futures rate and forward rate for the Ho-Lee model. Use the relationship to verify the expression for $\theta(t)$ given for the Ho-Lee model in equation (30.11).

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Options Futures And Other Derivatives

ISBN: 9780132164948

8th Edition

Authors: John C. Hull

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Question Posted: Mar 23, 2024 12:00 AM

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Use a change of numeraire argument to show that the relationship between the futures rate and forward

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(t) F(0, 1)+1 (30.11)

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Options Futures And Other Derivatives

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