Markets: A Rigorous Course

M06 · Problem 2 ★ Check

Annuity variants

(a) Find the PV of a growing annuity whose nn payments c,c(1+g),…c, c(1+g), \dots arrive at t=0,1,…,n−1t = 0, 1, \dots, n-1 (an annuity due). (b) Show that if each year's cash flow arrives at mid-year rather than year-end, every DCF term is multiplied by (1+r)1/2(1+r)^{1/2}. (c) Derive the continuous-time analogue ∫0Tc egte−rt dt\int_0^T c\,e^{gt}e^{-rt}\,dt and its limit as T→∞T \to \infty.

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Commas, ₹, % and 1e-3 notation are accepted.

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