Find the approximate value of a cashflow for a floorlet on the one-month LIBOR, when we use

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Find the approximate value of a cashflow for a floorlet on the one-month LIBOR, when we use the Vasicek model.

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Introduces Quantitative Finance

ISBN: 978-0470319581

2nd edition

Authors: Paul Wilmott

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Question Posted: Sep 23, 2020 05:59 AM

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Find the approximate value of a cashflow for a floorlet on the one-month LIBOR, when we use

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The Vasicek model is given by drtrtdtdWt where reversio...View the full answer

Introduces Quantitative Finance

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