R34 it says for the binomial int rate tree the upper rate is = lower rate x e(2x σx √t) however in R33 we used int rate tree to value without embedded options and it didnt have the square root of t. Please explain why the difference?
t = 1
R34 it says for the binomial int rate tree the upper rate is = lower rate x e(2x σx √t) however in R33 we used int rate tree to value without embedded options and it didnt have the square root of t. Please explain why the difference?
t = 1