Look at the general mean reversion structure where 0 ? ? ? 1 is an arbitrary coefficient.
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Look at the general mean reversion structure
where 0 ? ? ? 1 is an arbitrary coefficient. How is ? to be chosen if the intrinsic period is one month, to maintain the term structure of the yearly period model?
Transcribed Image Text:
Bk+1 = ABk + (1 – A), %3D
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