Show that the corrected solution log L n (T 0 ) contains indeed a drift function, frozen

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Show that the corrected solution log L̂_n(T₀) contains indeed a drift function, frozen at the midpoint between t and T₀.

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Dec 17, 2018 04:21 AM

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Show that the corrected solution log L n (T 0 ) contains indeed a drift function, frozen

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It is easy to see that the total drift ...View the full answer

A First Course in Quantitative Finance

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