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410140980 · 2023年07月02日

Black-Karasinski model.

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

1 个答案

pzqa27 · 2023年07月03日

嗨,努力学习的PZer你好:


是一种有均值复归的lognormal的模型,因此不符合第三条既有正数又有负数的要求

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虽然现在很辛苦,但努力过的感觉真的很好,加油!