Exercise 9.5 Suppose that default occurs independently of the state of the economy under the risk-neutral probability
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Exercise 9.5 Suppose that default occurs independently of the state of the economy under the risk-neutral probability measure Q. Recalling that the upward probability p∗ of the economy under Q is given by (8.26), prove that
(9.13) holds.
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Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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