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Exercises question from Arbitrage Theory in Continuous Time by Tomas Bjrk Exercise 17.2 Suppose that S is the price process of a dividend-paying asset with

Exercises question from Arbitrage Theory in Continuous Time by Tomas Bjrk

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Exercise 17.2 Suppose that S is the price process of a dividend-paying asset with dividend process D. Show that the forward price f(t; T, ST) is given by the cost of carry formula - r()du f(t;T, ST) = dD5 Ft p(t, T) Hint: Use the cost of carry formula for dividend-paying assets

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