Question: Consider the following spot-rate dynamics: Write a program that uses simulation to compute the conditional expectation of: Assume K = 0.05, r0 = 0.052, T

Consider the following spot-rate dynamics:
Consider the following spot-rate dynamics: Write a program that uses simulation

Write a program that uses simulation to compute the conditional expectation of:

Consider the following spot-rate dynamics: Write a program that uses simulation

Assume K = 0.05, r0 = 0.052, T = 1, and ˆ† = 0.01. Additionally, assume α = 0.9, κ = 0.07, σ
= 0.2, and β = 0.75.

P=E(e-Jorsds maxUT-K,0)) (21.99)

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