NO.PZ2018122701000075
问题如下:
An analyst is looking at various models used to incorporate drift into term structure models. The Ho-Lee Model:
选项:
A.Incorporates no-risk premium to the interest rate model allowing rates to vary according to their volatility.
B.Incorporates drift as a premium to interest rates that remains constant over time.
C.Allows for a risk premium to be applied to interest rates that changes over time.
D.Incorporates drift into the model following the assumption that rates revert to the long-run equilibrium value.
解释:
C is correct.
考点Term Structure Models
解析The Ho-Lee model incorporates a premium to each rate change that can be different at each point in time.
Incorporates drift into the model following the assumption that rates revert to the long-run equilibrium value.
D选项描述好像没错啊