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    Exam 23: Single Period Binomial Heath Jarrow Morton Model
  5. Question
    The Following Is NOT an Assumption Underlying the Binomial HJM
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The Following Is NOT an Assumption Underlying the Binomial HJM

Question 1

Question 1

Multiple Choice

The following is NOT an assumption underlying the binomial HJM option pricing model:


A) no market frictions
B) no credit risk
C) competitive and well-functioning markets
D) no interest rate uncertainty
E) the forward rates follow a lognormal process

Correct Answer:

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