Consider the European put option with expiration date Ti1 and strike price X written on a Ti-maturity
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Consider the European put option with expiration date Ti−1 and strike price X written on a Ti-maturity discount bond, 0 < X < 1. Recall that the ith caplet is equivalent to the put bond option, deduce the price function of this put bond option using the caplet price formula under the Lognormal LIBOR Market model [see (8.3.10)].
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