Instead of the tree-symmetry condition: u = 1/d [see (6.1.1c)], Jarrow and Rudd (1983) chose the third
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Instead of the tree-symmetry condition: u = 1/d [see (6.1.1c)], Jarrow and Rudd (1983) chose the third condition to be p = 1/2. By solving together with (6.1.1a,b), show that
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To show that u R1 e 1 d R1 et 1 and p 1 we need to solve the system of equations formed by the condi...View the full answer
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