a. In the HJM libor model, is it a simple interest rate or a continuously compounded interest
Question:
b. Why is this difference important (hint: relates to Black’s formula)?
c. In the HJM libor model, is the volatility of the simple forward rate of interest a constant, or does it depend on time?
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
An Introduction to Derivative Securities Financial Markets and Risk Management
ISBN: 978-0393913071
1st edition
Authors: Robert A. Jarrow, Arkadev Chatterjee
Question Posted: