Develop an analytic formula for its price

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Reference no: EM131187690

Develop an analytic formula for a trigger FRA under a displaceddiffusion model (see Exercise 13.8).

Exercises 8

A trigger FRA is a FRA that comes into existence if and only if the forward rate is above H at the start of the FRA. Develop an analytic formula for its price if the forward rate follows geometric Brownian motion.

Reference no: EM131187690

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Develop an analytic formula for its price : A trigger FRA is a FRA that comes into existence if and only if the forward rate is above H at the start of the FRA. Develop an analytic formula for its price if the forward rate follows geometric Brownian motion.

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