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Write down the expectation of a receiver swaption payoff maturing at T and struck at K. Show that we cannot evaluate the expectation under Q*,
Write down the expectation of a receiver swaption payoff maturing at T and struck at K. Show that we cannot evaluate the expectation under Q*, the risk-neutral measure associated with the risk-free money market account numeraire Be = Boestu du, but by changing the measure to Qn+1,, the risk-neutral measure associated with the present value of a basis point (PVBP) numeraire Pn+1,2(t) = [Xn+1 4i-1Di(t), we can derive an analytical expression for the receiver swaption. Write down the expectation of a receiver swaption payoff maturing at T and struck at K. Show that we cannot evaluate the expectation under Q*, the risk-neutral measure associated with the risk-free money market account numeraire Be = Boestu du, but by changing the measure to Qn+1,, the risk-neutral measure associated with the present value of a basis point (PVBP) numeraire Pn+1,2(t) = [Xn+1 4i-1Di(t), we can derive an analytical expression for the receiver swaption
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