Nathan Meibergen
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When are implied and real world parameters the same?
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Suppose the above bond and let $\tau$ be the default time, then by definition of the Q-measure \begin{align} P&=\mathbb{E}^{\mathbb{Q}}\left[e^{-r(T-t)}1_{\tau>T}\right]\\ &=e^{-r(T-t)}\...

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