Question: Look at the general mean reversion structure where 0 ? ? ? 1 is an arbitrary coefficient. How is ? to be chosen if the

Look at the general mean reversion structure

Bk+1 = ABk + (1 A), %3D

where 0 ? ? ? 1 is an arbitrary coefficient. How is ? to be chosen if the intrinsic period is one month, to maintain the term structure of the yearly period model?

Bk+1 = ABk + (1 A), %3D

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