Under the one-factor InuiKijima model [see (7.4.23)], we would like to solve for B(t, T) in terms

Question:

Under the one-factor Inui–Kijima model [see (7.4.23)], we would like to solve for B(t, T) in terms of r(t), ∅(t), F(0,t) and other parameter functions. Define

T = $ e - 5 K(s) ds, B(t, T) = e-k(s) ds du, tT,

show that

B(t, T) = B(0, T) exp B(0, t) p(- B(t, T) 2 =$(1) + B(1, T)[F(0, 1) r(1)]), - 0 < t < T.

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Nov 30, 2023 07:31 AM

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Under the one-factor InuiKijima model [see (7.4.23)], we would like to solve for B(t, T) in terms

Question:

T = $₁² e - 5₁² K(s) ds, B(t, T) = e-k(s) ds du, t≤T,

Step by Step Answer:

To show that BtT BtT2 B0TB0 t exp 3 pt BtTF0t rt lets work through the steps 1 Defi...View the full answer

Mathematical Models Of Financial Derivative

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