Question: Show that the noarbitrage timezero value of a zero coupon bond With maturity t > 0 is e 2 , when the riskneutral instantaneous risk

Show that the noarbitrage timezero value of a zero coupon bond With maturity t > 0 is e 2 , when the riskneutral instantaneous risk free rate follows NS) = Z , Where Z is a standard normal random variable, and 0 S s S t. (Assume continuous compounding.)

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