Suppose that an interest rate x follows the process dx = a(xo-x) dt +cxdz where a, xo,

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Suppose that an interest rate x follows the process dx = a(xo-x) dt +cxdz where

a, xo, and c are positive constants. Suppose further that the market price of risk for x is . What is the process for x in the traditional risk-neutral world?

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Options Futures And Other Derivatives

ISBN: 978-8120331693

6th Edition

Authors: Buss/redburn/guo

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Question Posted: Sep 19, 2024 06:02 AM

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Suppose that an interest rate x follows the process dx = a(xo-x) dt +cxdz where a, xo,

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Options Futures And Other Derivatives

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