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十六岁的烟火 · 2018年07月22日

问一道题:NO.PZ2016070201000068 [ FRM II ]

请老师帮忙解读答案

问题如下图:

选项:

A.

B.

C.

D.

解释:

1 个答案

妙悟先生品职答疑助手 · 2018年07月22日

题目中提到了这个变化是short-term,亦即短期就会恢复到均值水平,同样的变化,回归到均值的时间越短,必然这个回归均值的速度的值就很大,即high mean-reversion parameter.

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