simplified Libor in arrears payoff: pay at time 1 1-year Libor reset at time 1 F(1)

where is measure with numeraire

change measure from time 0 to time 1 (time while F(t) is changing)

with girsanov formula :

so we get

but

so

under F(1) is martingale i.e.

to calculate we must introduce dynamics for F(1)

for example black-scholes where under :

so and therefore

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