For each step of the risk-neutral binomial model, what is the expected continuously compounded yield [frac{1}{t_{i+1}-t_{i}} E_{t_{i}}left[ln
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For each step of the risk-neutral binomial model, what is the expected continuously compounded yield
\[\frac{1}{t_{i+1}-t_{i}} E_{t_{i}}\left[\ln \left(\frac{A\left(t_{i+1}ight)}{A\left(t_{i}ight)}ight)ight]\]
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To find the expected continuously compounded yield in each step of the riskneutral binomial model we must understand the structure and dynamics of thi...View the full answer
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Related Book For
Mathematical Techniques In Finance An Introduction Wiley Finance
ISBN: 9781119838401
1st Edition
Authors: Amir Sadr
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