Under the risk neutral measure Q, let S t be governed by show that (Milevsky and Posner, 1998) Defining d St St (r q) dt o d Z A(t, T) 1 T t T s Su du,...

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Under the risk neutral measure Q, let S t be governed by show that (Milevsky and Posner,

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Under the risk neutral measure Q, let S_t be governed by

Defining d St | St = (r-q) dt + o d Z. A(t, T) = 1 T-t T s Su du, show that (Milevsky and Posner, 1998)

EQ[A(t, T)] = EQ[A(t, T)] = St St exp((r-q) (T-t))-1 (r-q)(T-t) 25 { exp([2(rq)+0](T1)) (T-1)

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 05, 2023 01:13 AM

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Under the risk neutral measure Q, let S t be governed by show that (Milevsky and Posner,

Question:

Defining d St | St = (r- q) dt + o d Z₁. A(t, T) = 1 T-t T s Su du,

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Mathematical Models Of Financial Derivative

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