Broll, Udo (contributor); Schweimayer, Gerhard (contributor) - 2003 - [Elektronische Ressource]
(7)
E
h
U0(~ƒ⁄)
‡
(1¡ ~ )rL ¡r +(1¡ ~ )r0LL⁄ ¡ ~ ¡C0L
·i
= 0 (8)
E[U0(~ƒ⁄)(~ ¡ „ )] = 0 (9)
Inspection of (7), (8) and (9 … is unbiased.
Proof (a) Substituting E[U0(¢)„ ] for E[U0(¢)~ ] from (9) into (8), rearranging terms
and dividing by E[U0 …(X;Y) = E(XY)¡E(X)E(Y), we can
write (9) in the form
Cov
h
U0(¢); ~
i
E[U0(¢)] +E(
~ ) = „ : (12)
If the market for the CDS is …