NO.PZ2018122701000076
问题如下:
In the past few years, the markets have experienced very low interest rates, in some rare cases below zero. A risk manager is selecting an interest rate model which should reflect the following properties:
- Negative values should revert to a mean rate.
- The tree should be recombining to make computation feasible.
- The rates should be able to move between positive and negative values.
After researching various models, which of the following is most appropriate?
选项:
A.Black-Karasinski model.
B.Vasicek model.
C.Ho-Lee model.
D.Constant drift model.
解释:
B is correct.
考点Term Structure Models
解析:根据第一点提到的均值回归,就可以判断使用的是Vasicek model.
Black-Karasinski model.老师A选项这个是什么模型啊