Let a(t), o(t), and r(t) be non-random adapted processes. For a stock process that follows: dS(t)=...
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Let a(t), o(t), and r(t) be non-random adapted processes. For a stock process that follows: dS(t)= a(t)S(t)dt + o(t)S(t)dW(t) and a discount factor given by: D(t) = e-for(u)du derive the formula at any time 0 < t <T for a forward agreement to purchase the stock at time T for price K. Let a(t), o(t), and r(t) be non-random adapted processes. For a stock process that follows: dS(t)= a(t)S(t)dt + o(t)S(t)dW(t) and a discount factor given by: D(t) = e-for(u)du derive the formula at any time 0 < t <T for a forward agreement to purchase the stock at time T for price K.
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