Question: Show that the no-arbitrage time-zero value of a zero coupon bond with maturity t> 0 is e when the risk-neutral instantaneous risk free rate

Show that the no-arbitrage time-zero value of a zero coupon bond with

Show that the no-arbitrage time-zero value of a zero coupon bond with maturity t> 0 is e when the risk-neutral instantaneous risk free rate follows r(s) = Z, where Z is a standard normal random variable, and 0 st. (Assume continuous compounding.)

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