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Exercise 5. Assume that under the risk-neutral measure Q, the default time t is taken to be an exponential random variable with parameter/intensity ), and

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Exercise 5. Assume that under the risk-neutral measure Q, the default time t is taken to be an exponential random variable with parameter/intensity ), and t is independent of the interest rate process rt. i) Compute the zero-coupon bond price with face value 1, maturity T, and recovery- rate upon default, a positive deterministic constant R, (R

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