Prove (a) That the definitions of duration in equations (9.1) and (9.3) are the same when y

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Prove

(a) That the definitions of duration in equations (9.1) and (9.3) are the same when y is continuously compounded and

(b) That when y is compounded m times per year they are the same if the right-hand side of equation (9.3) is divided by 1 + y/m.

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Risk Management and Financial Institutions

ISBN: 978-1119448112

5th edition

Authors: John C. Hull

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Question Posted: Nov 22, 2018 04:33 AM

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Prove (a) That the definitions of duration in equations (9.1) and (9.3) are the same when y

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a When y is continuously compo...View the full answer

Risk Management and Financial Institutions

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