NO.PZ2023040701000046
问题如下:
Maalouf notes Fujioka currently values option-free bonds by discounting their future expected cash flows using the zero-coupon yield curve. He asks her why she hasn’t adopted the more flexible binomial interest rate tree framework. She replies, “My approach will calculate the same values for option-bonds as those produced by a properly calibrated binomial tree. Further, it would require special programming techniques to calibrate a binomial tree to match benchmark risk-bond prices, making implementation of that approach quite costly.”
Is Fujioka most likely correct when comparing her approach to valuation with the binomial interest rate tree framework?
选项:
A.No, the values estimated by the two approaches will likely be different
Yes
No, she is incorrect regarding calibration of interest rate trees
解释:
Correct Answer: C
Calibrating an interest rate tree can be accomplished using spreadsheet software (e.g., the Solver function in Excel) and is therefore relatively easy to do without a knowledge of special programming techniques and without great expense.
She replies, “My approach will calculate the same values for option-bonds as those produced by a properly calibrated binomial tree.
前面又写她在估值option-free bond;option bond只能用二叉树估值。所以题干的信息前后矛盾吧。