Substitute Z(r, t; T ) = e A(t;T )rB(t;T ) , into the bond pricing equation What

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Substitute

Z(r, t; T ) = e^{A(t;T )−rB(t;T )},

into the bond pricing equation

What are the explicit dependencies of the functions in the resulting equation?

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Introduces Quantitative Finance

ISBN: 978-0470319581

2nd edition

Authors: Paul Wilmott

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Question Posted: Sep 23, 2020 05:58 AM

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Substitute Z(r, t; T ) = e A(t;T )rB(t;T ) , into the bond pricing equation What

Question:

av + (u – Aw) av - rV = 0. ar %3D at ar2

Step by Step Answer:

By substituting the expression Zr t T eAt T rBt T into the bond pricing equation av u Aw av rV 0 we ...View the full answer

Introduces Quantitative Finance

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