Question: 8.5 If K(u) = exp 1 2uu in (8.55), then give a no-arbitrage condition for Yn,N given by (8.53) in terms of ( ,

8.5 If ϕK(u) = exp

©1 2u′u

ª

in (8.55), then give a no-arbitrage condition for Yn,N given by (8.53) in terms of α( , ), β( , ) and ξ (Kariya and Liu

(2003)).

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