Nikeghbali, Ashkan; Platen, Eckhard - Finance Discipline Group, Business School - 2008
. Substituting formula (4.6) into (4.3) yields
E(expf¡‚gg) =
Z 1
1
1
a
¶q1
4+
‚
2 2+
1
2 da
a =
Z 1
0
e¡u
q
1
4+
‚
2 2+
1
2
du … passage times up to a flnite horizon. Asia-Paciflc
Financial Markets.
Mansuy, R. & M. Yor (2006). Random Times and … two-factor model for low interest rate regimes.
Asia-Paciflc Financial Markets 11(1), 107{133.
Nikeghbali, A. (2006a …