Illustrates the Epstein–Wilmott model
Illustrates the Epstein–Wilmott model?
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It is a nonlinear, posing constraint at the dynamics of the short rate. One of the outputs of such model is the Yield Envelope as in figure given below which illustrates no-arbitrage bounds at the forward curve.
Figure: The Yield Envelope illustrating ranges of possible yields. The point at that the range is zero is, here are traded contracts.
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Question 1 Four European vanilla Call options Ci ( ⋅) on an underlier with no interim cash flows, have identicalmaturity T . Their strike prices K i are such that K1 < K 2 < K 3 < K 4 and all strikes are equallyspaced. Interest rates are equ
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