Exercise 15.2 Show that the density function (15.4) can be expressed as (15.6). Using this, prove that
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Exercise 15.2 Show that the density function (15.4) can be expressed as
(15.6). Using this, prove that the MGF of the spot rate r(t) in the CIR model is given by (15.5).
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Related Book For 
Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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