Just trying to check my logic here: Let $Z(t,T)$ be a Zero-Coupon Bond with maturity $T$ bought at time $t$, $S_m$ be the spot interest rate for time $m$ and $S_n$ for time $n$ respectively, where $n ...
I am having some trouble setting up a replicating strategy for a call option with a three step binomial model (discrete). I have no trouble doing this in a two step binomial model by backward ...
Let $T < T_2 < T+D$ and $B(t,T)$ the value at time $t$ of zero-coupon bond of maturity $T$. We suppose its volatility to be a deterministic function of $t$ and $T$. Let's consider a "delayed" ...