Exercise 4.3 Prove the following identities ff(t, s)ds (1) Y(t,T) = (2) f(t,T,T) = T-t ST f(t,s)ds

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Exercise 4.3 Prove the following identities

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Stochastic Processes With Applications To Finance

ISBN: 9781439884829

2nd Edition

Authors: Masaaki Kijima

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Question Posted: Sep 19, 2024 07:03 PM

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Exercise 4.3 Prove the following identities ff(t, s)ds (1) Y(t,T) = (2) f(t,T,T) = T-t ST f(t,s)ds

Question:

ff(t, s)ds (1) Y(t,T) = (2) f(t,T,T) = T-t ST f(t,s)ds T-T

Step by Step Answer:

Stochastic Processes With Applications To Finance

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