NO.PZ2020033001000072
问题如下:
Within the log-normal model, how are basis-point volatility and yield volatility changing over time ?
选项:
A.
B.
C.
D.
解释:
A is correct.
考点:Log-normal model
解析:
In Log-normal model, basis-point volatility increases linearly and yield volatility is constant.
波动率恒定但是r在变化,为什么只会增加不会下降