Exercise 16.3 The second term in the right-hand side of (16.7) is evaluated as where L =
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Exercise 16.3 The second term in the right-hand side of (16.7) is evaluated as
where L = log[F/A] − α0T. Show that
and
where ϕ(z) and Φ(z) denote the standard normal density and distribution functions, respectively, and zi, i = 3, . . . , 6, are defined below (16.8).
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Related Book For
Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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