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ruby5ltc · 2023年06月11日

什么情况下选C

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NO.PZ201602270200001806

问题如下:

6. If the assumed volatility is changed as Black requested in Task 4, the forward rates shown in Exhibit 3 will most likely:

选项:

A.

spread out.

B.

remain unchanged.

C.

converge to the spot rates.

解释:

A is correct.

Volatility is one of the two key assumptions required to estimate rates for the binomial interest rate tree. Increasing the volatility from 10% to 15% would cause the possible forward rates to spread out on the tree as it increases the exponent in the relationship multiple between nodes (ex􀄱, where x = 2 times the number of nodes above the lowest node in a given year in the interest rate tree). Conversely, using a lower estimate of volatility would cause the forward rates to narrow or converge to the implied forward rates from the prevailing yield curve.

B is incorrect because volatility is a key assumption in the binomial interest rate tree model. Any change in volatility will cause a change in the implied forward rates.

C is incorrect because increasing the volatility from 10% to 15% causes the possible forward rates to spread out on the tree, not converge to the implied forward rates from the current yield curve. Rates will converge to the implied forward rates when lower estimates of volatility are assumed.

什么情况下选C

1 个答案

pzqa31 · 2023年06月12日

嗨,爱思考的PZer你好:


Rates will converge to the implied forward rates when lower estimates of volatility are assumed.

当设定的波动率降低的时候,此时二叉树更加收敛。

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努力的时光都是限量版,加油!

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2024-02-20 21:51 1 · 回答

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