问题如下:
Exhibit 2 presents most of the data of a binomial lognormal interest rate tree fit to the yield curve shown in Exhibit 1.
Regarding the missing data in Exhibits 2, the trader is to perform a test that the binomial interest tree has been properly calibrated to be arbitrage-free.
A benefit of this test is that it:
选项:
A. identifies benchmark bonds that have been mispriced by the market.
B. enables the model to price bonds with embedded options.
C. allows investors to realize arbitrage profits through stripping and reconstitution.
解释:
B is correct.
考点:考察二叉树的相关概念.
解析:校准利率二叉树以匹配特定的利率期限结构非常重要。A选项是错误的,因为基准债券被认为是正确定价的,我们使用其市场价格来验证利率二叉树中利率的准确性。一旦二叉树确认了准确性,就可用来对含权债券进行定价。
C不正确,因为二项利率树的校准,实质上确定利率二叉树定价出来的债券价格是无套利的价格,因此二叉树利率的矫正不会有套利的机会。
其实我看了半天这个题目的其他解答也没明白为什么一定是B,题目与B没什么关系,换个角度。 是不是可以认为A是前提,认为市场定价合理,而不是为了矫正好模型去identified它?