How would you price this derivative using bgm how many, Engineering Mathematics

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How would you price this derivative using bgm how many

Every three months, an inverse floater pays max (2L - K, 0)τ - L τ, where L is the three-month LIBOR rate for the preceding three months. How would you price this derivative using BGM? How many evolution times would be needed? Could you price it without using BGM?

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Engineering Mathematics: How would you price this derivative using bgm how many

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