There is a cash flow of $125 at time 1.68 years to be allocated to two time

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There is a cash flow of $125 at time 1.68 years to be allocated to two time points: 1.5 years and 2 years. The zero-coupon rates for these two points are 3% and 4%, and compounding is continuous. Find the allocation that preserves value and risk.

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 11, 2024 09:03 AM

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There is a cash flow of $125 at time 1.68 years to be allocated to two time

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We wish to allocate a cashflow of c125 at 168 years to the bucketing dates 15 and 2 years We denote ...View the full answer

Derivatives Principles And Practice

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