Suppose we decide that all the trouble in the bgm model is, Ask an Expert

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Suppose we decide that all the trouble in the BGM model is caused by the non-tradability of the rates and therefore decide to evolve the values of forward-rate agreements with zero strike instead. What process for the FRAs is equivalent to the log-normal process for forward rates? Suppose we make the FRAs log-normal, what process do we get for the rates?

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Computer Engineering, Engineering

Category:- Computer Engineering
Reference No.:- M91943771

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