负利率为什么会改变模型

NO.PZ2018122701000065 问题如下 A risk manager is pricing a 10-yecall option on 10-yeTreasury using a successfully testepricing mol. Current interest rate volatility is high anthe risk manager is concerneabout the effethis mhave on short-term rates when pricing the option. Whiof the following actions woulbest aress the potentifor negative short-term interest rates to arise in themol? A.The risk manager uses a normstribution of interest rates. B.When short-term rates are negative, the risk manager austs the risk-neutrprobabilities. C.When short-term rates are negative, the risk manager increases the volatility. When short-term rates are negative, the risk manager sets the rate to zero. is correct.考点 Interest Rate Tree (Binominal) Mol解析 Negative short-term interest rates carise in mols for whithe terminstribution of interest rates follows a normstribution. The existenof negative interest rates es not make mueconomic sense sinmarket participants woulgenerally not lencash negative interest rates when they cholcash anearn a zero return. One methothcuseto aress the potentifor negative interest rates when constructing interest rate trees is to set all negative interest rates to zero. This localizes the change in assumption s to points in the stribution corresponng to negative interest rates anpreserves the originrate tree for all other observations. In comparison, austing the risk neutrprobabilities woulalter the namiacross the entire range of interest rates antherefore not optimapproach.When a mol splays the potentifor negative short-term interest rates, it cstill a sirable mol to use in certain situations, especially in cases where the valuation pen more on the average path of the interest rate, suin valuing coupon bon. Therefore, the potentifor negative rates es not automatically rule out the use of the mol. 老师解析的最后一段当中最后一句话怎么理解？最好是一下最后一段话

NO.PZ2018122701000065 问题如下 A risk manager is pricing a 10-yecall option on 10-yeTreasury using a successfully testepricing mol. Current interest rate volatility is high anthe risk manager is concerneabout the effethis mhave on short-term rates when pricing the option. Whiof the following actions woulbest aress the potentifor negative short-term interest rates to arise in themol? A.The risk manager uses a normstribution of interest rates. B.When short-term rates are negative, the risk manager austs the risk-neutrprobabilities. C.When short-term rates are negative, the risk manager increases the volatility. When short-term rates are negative, the risk manager sets the rate to zero. is correct.考点 Interest Rate Tree (Binominal) Mol解析 Negative short-term interest rates carise in mols for whithe terminstribution of interest rates follows a normstribution. The existenof negative interest rates es not make mueconomic sense sinmarket participants woulgenerally not lencash negative interest rates when they cholcash anearn a zero return. One methothcuseto aress the potentifor negative interest rates when constructing interest rate trees is to set all negative interest rates to zero. This localizes the change in assumption s to points in the stribution corresponng to negative interest rates anpreserves the originrate tree for all other observations. In comparison, austing the risk neutrprobabilities woulalter the namiacross the entire range of interest rates antherefore not optimapproach.When a mol splays the potentifor negative short-term interest rates, it cstill a sirable mol to use in certain situations, especially in cases where the valuation pen more on the average path of the interest rate, suin valuing coupon bon. Therefore, the potentifor negative rates es not automatically rule out the use of the mol. 老师这道题针对利率为负进行调整，解析给出两个方法，第二个我没看懂是怎么做的。能一下吗

NO.PZ2018122701000065 这题不懂，麻烦解答，谢谢

NO.PZ2018122701000065 这题没看懂，麻烦解答一下