2. 2. Given 0

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2. 2. Given 0<t<T, please prove that the no-arbitrage expected value of the holding value ^Xt at time t to time T is ^Xt /B(t,T), and then prove that when the interest rate is not random, this no-arbitrage The expected value of arbitrage ^Xt /B(t, T) is equal to the value of holding ^Xt .

2 2 Given 0 T T Please Prove That The No Arbitrage Expected Value Of The Holding Value Xt At Time T To Time T Is X 1 (19.7 KiB) Viewed 50 times

2 2 Given 0 T T Please Prove That The No Arbitrage Expected Value Of The Holding Value Xt At Time T To Time T Is X 2 (19.7 KiB) Viewed 50 times

11. 給定付息債券的流通價格XX, 0 請定義付息債券的在1(20) 時點的持有價值X,再解釋付息債券的持有價值除了在啟動時等於對應 的發行價格 X = X, 外,所有其他時點的持有價值 X, 皆異於對應的流通價格 X,並請說明兩者的差 異為何。 給定0<[ <T,請證明在;時點對T時點之持有價值 Kr的無套利預期值是 X/BIT, T),並再證明 當利率不隨機時,此無套利預期值 X / B( T)就等於持有價值 Xr。
11. 給定付息債券的流通價格XX, 0 請定義付息債券的在1(20) 時點的持有價值X,再解釋付息債券的持有價值除了在啟動時等於對應 的發行價格 X = X, 外,所有其他時點的持有價值 X, 皆異於對應的流通價格 X,並請說明兩者的差 異為何。 給定0<[ <T,請證明在;時點對T時點之持有價值 Kr的無套利預期值是 X/BIT, T),並再證明 當利率不隨機時,此無套利預期值 X / B( T)就等於持有價值 Xr。