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

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Suppose that an interest rate x follows the process dx = a(x§ — x)dt + c-Jxdz where

a, x0, and c are positive constants. Suppose further that the market price of risk for x is X.

What is the process for x in the traditional risk-neutral world?

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:03 AM

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

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Options Futures And Other Derivatives

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