Exercise 15.10 The time-t price of a floorlet is given by Using this, prove the following parity
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Exercise 15.10 The time-t price of a floorlet is given by
Using this, prove the following parity relationship between the caplet and the corresponding floorlet:
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Related Book For
Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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