Consider EQ A(t n t) 2 defined in (4 3 68) Show that when t 0we have (Levy, 1992) where B B3 Eq (In t) S (n 1) 1 e(2r o)(n 1) At (1 er4) 1 e(2r 0)41 ' er 4t er(n 1) At er At) 1 e(r o) 4t ' (1 e(2r o) (to ) (B B2 B3 B4), B B4 er(n 1)Ate(2r o)(n 1) At (1 er At) 1 e(r o) 4t e(2r o) 4t e(2r o)(n 1) At ...

The expression you provided involves expectations of the square of a process At t Lets denote Y Att ...

Consider EQ[A(t n ;t) 2 ] defined in (4.3.68). Show that when t 0we have (Levy, 1992)

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Consider EQ[Ã(t_n;t)²] defined in (4.3.68). Show that when t 0 we have (Levy, 1992)

where B = B3 = Eq[(tn; t)] = S (n + 1) 1- e(2r+o)(n+1) At - (1 er 4)[1 e(2r+0)41]' er At-er(n+1) At (1 er

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Mathematical Models Of Financial Derivative

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Authors: Yue-Kuen Kwok

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Consider EQ[A(t n ;t) 2 ] defined in (4.3.68). Show that when t 0we have (Levy, 1992)

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Mathematical Models Of Financial Derivative

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