Define the instantaneous forward rate to be lim SR+ L t [R, S]. Show that lim L[R,

Question:

Define the instantaneous forward rate to be lim _S→R+ L_t[R, S]. Show that

lim L[R, S] = SR+ - In B(t, R). R

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For answer-question

Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

See More Books

Question Posted: Dec 05, 2023 01:13 AM

See More Questions

KYC's stock price can go up by 15 percent every year, or down by 10 percent. Both outcomes are equally likely. The risk free rate is 5 percent, and the current stock price of KYC is 100. (a) Price a...
The dynamics of the instantaneous forward rate F(t,T ) under the risk neutral measure Q is governed by where (Z 1 (t)Z m (t)) T is an m-dimensional Brownian process under Q. Let (W 1 (t) W m (t)) T...
Show that the risk neutral measure Q and the T-forward measure Q T are identical if and only if the short rate r t is deterministic. Also, show that the instantaneous forward rate is given by where...
Once an LLC has engaged in a dissolution procedure, the business does not stop immediately. True/False
STATEMENT OF CASH FLOWS UNDER THE DIRECT METHOD Using the information provided in Problem 23-12A for McDowell Company, prepare the following: 1. A schedule for the calculation of cash generated from...
Suppose that random access memory (RAM) can be added to your computer at a cost of $8 per gigabyte. Suppose also that the value to you, measured in terms of your willingness to pay, of an additional...
Describe the six categories of early warning signs of potential fraud.
Hyundai Motors is considering three sites A, B, and C at which to locate a factory to build its new- model automobile, the Hyundai Sport C150. The goal is to locate at a minimum- cost site, where...
Prof. Dimitriou developed the following code to evaluate the expressions A(), B() and CO) but it takes too long to compute even for small values of n. A(int n) if (n <0) return 0; if (n
Suppose the price of a bond is dependent on the price of a commodity, denoted by Q t . Let the stochastic process followed by Q t be governed by By hedging bonds of different maturities, show that...
Let F t (T 0 ,T i ) denote the forward price at time t for buying at time T 0 a unit-par zero-coupon bond with maturity T i . Show that the forward swap rate [see (7.1.4)] can be expressed as where ...
The 60-lb projectile shown has a radius of gyration of 2.4 in. about its axis of symmetry Gx and a radius of gyration of 10 in. about the transverse axis Gy. Its angular velocity Ï can be...
The vertical displacement y(x,t) of a string stretched along the horizontal x-axis is given by y(x,t) = (6.00 mm) cos[(3.25 m-1)x - (7.22 rad/s)t]. (a) What is the minimum time for each complete...
Disclosure to educational institutions where a student seeks or intends to enroll, or is currently enrolled, when the disclosure is for a purpose related to the student's enrollment or transfer is an...
Round all dollar amounts to the nearest dollar. Zelda Inc., a calendar-year company, pays its employees every other Friday. Zelda's employees earn $526,000 for each ten-day pay period ($52,600 per...
if the food cost is $4.97 and the food cost percentage is 31.06%, what is the sales price?
You are 30 years of age and wish to retire at 70. Your plan is to live off $90,000/year until you turn 95. Your plan is to save $25,000/year until you turn 70. Assume a 5% opportunity cost. Make a...
Using the regression output obtained by working Problem 13.11, comment on the overall strength of the regression model using S, R2, and adjusted R2.
From a medical tourist perspective, compare Shouldice with the traditional hospital in terms of the key factors of competition. Using Table 15-3, why would Shouldice attract patients from outside the...
Are there any ethical issues raised by these smart products such as their impact on consumer privacy? Explain your answer .
Which features of organizations do managers need to know about to build and use information systems successfully?
Analyze Sears using the competitive forces and value chain models. What are Searss strengths? What are its weaknesses?
How to create new user ASSIGN-1 in Oracle database and get login with it. User must not be given DBA rights. give permission to ASSIGN-1 to create and view tables.
Brae Industries Inc. purchased a machine on January 2, 2020, with a cost of $175,000, with an expected useful life of five (5) years, and an estimated salvage value of $8,000. Brae depreciates all...
What are some of the most effective ways that companies can detect and prevent inventory and noncash assets fraud? How can companies establish robust internal controls over their inventory and asset...

Define the instantaneous forward rate to be lim SR+ L t [R, S]. Show that lim L[R,

Question:

lim L[R, S] = S→R+ Ə - In B(t, R). ƏR

Step by Step Answer:

The instantaneous forward rate denoted by f t R is defined as the limit of the forward rate as the m...View the full answer

Mathematical Models Of Financial Derivative

Students also viewed these Business questions