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上小学 · 2023年08月06日

请问第三个选项是什么意思?

NO.PZ2020033001000073

问题如下:

Which of the following statements is an advantage of the CIR model?

选项:

A.

During periods of high inflation, basis-point volatility decreases.

B.

Interest rates are always non-negative.

C.

Out-of-the money option prices may differ with the use of normal or lognormal distributions.

D.

Long-run interest rates may not hover around a mean-reverting level.

解释:

B is correct.

考点:CIR model

解析:

A. Basis-point volatility increases during periods of high inflation.

C. It is a disadvantage of CIR model.

D. CIR model is a mean-reverting model.

不明白第三个选项说的是什么?谢谢

1 个答案

品职答疑小助手雍 · 2023年08月06日

同学你好,C是原版书根据实证图像得到的结论,没有推理,不过也不是重点,学有余力记一下就行。

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