December 8th, 2010, 2:46 am
QuoteOriginally posted by: HansiI'm a bit tired but with tau = T-t and h(tau) = 1-exp(-r*tau), dh(tau) = r*exp(-r*tau)I'd assume that lim[tau -> 0] (1-h(tau)) = 0 and lim[tau -> inf] (dg/dh(tau)) = 0 be the case for r>0.Haven't read the paper but I'm assuming they ignore r<0 and possibly supply a specific case for r=0?lim[tau -> 0] (1-h(tau)) = 1 because exp goes to 1.. so it's basicaly 1- (1 - 1). Atleast I think. I don't see how it goes to 0? Am I missing something?