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jameshao11 · 2018年08月07日

问一道题:NO.PZ2016062402000027

这里的volatility为什么要乘以根号下0.01?

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08月07日

不同时间跨度的波动率并不相同,所以需要通过平方根法则将波动率调整至time step.

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NO.PZ2016062402000027问题如下 Suppose you simulate the pripath of stoHHF using a geometric Brownimotion mol with ift μ = 0, volatility σ = 0.14, antime step Δ = 0.01. Let StS_tSt​ the priof the stotime t. If S0S_0S0​ = 100, anthe first two simulate(ranmly selecte stanrnormvariables are ε1\varepsilon_1ε1​ = 0.263 anε2\varepsilon_2ε2​ = -0.475, whis the simulatestopriafter the seconstep?96.79 99.79 99.97 99.70 The process for the stoprices hmeof zero anvolatility of σ△t=0.14×0.01=0.014\sigma\sqrt{\bigtriangleup t}=0.14\times\sqrt{0.01}=0.014σ△t​=0.14×0.01​=0.014, Henthe first step is S1=S0(1+0.014×0.263)=100.37S_1=S_0{(1+0.014\times0.263)}=100.37S1​=S0​(1+0.014×0.263)=100.37. The seconstep is S2=S1(1+0.014×−0.475)=99.70S_2=S_1{(1+0.014\times-0.475)}=99.70S2​=S1​(1+0.014×−0.475)=99.70请问这道题是哪个知识点

2022-11-18 15:22 4 · 回答

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