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  3. c) an analyst models the spot interest rate with t

c) An analyst models the spot interest rate with the following stochastic differential equation:dR =...

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Algebra

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c) An analyst models the spot interest rate with the following stochastic differential equation:dR = (u - Rt)dt + dB, where u is a positive constant.Using Ito's lemma on the function f(t, Rt) = exp(t) Rt show that:R? = ? + exp(-t) (R? -?) +exp(-(t-s)) dBs

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