New answers tagged self-study
4
90.422798 is not the correct value for price for Benchmark 18A. If you were the original purchaser of the book in 1993 you would have received an errata correcting that benchmark. If you have a second printing from 1996 it contains the correct value for price of 99.422450.
I hope that helps.
2
It was shown in another question that
\begin{align}
\int^T_0 f(t) Z_t dt &= Z_T \int^T_0 f(u) du - \int^T_0 \Bigl( \int^s_0 f(u) du \Bigr) dZ_s\\
&= Z_T \cdot F(T) - \int^T_0 F(s) \cdot dZ_s
\end{align}
where I've defined the integral $F(T) = \int^T_0 f(t) dt$, and note this is just another deterministic function of time.
Both of the two terms in the ...
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