问题如下图:
选项:
A.
B.
C.
解释:
我还是不太明白为什么是0.8.
node 4-1 到4-5是不是 2倍+2倍+2倍+2倍=8倍再乘以volatility
所以e的8*0.1?
而不是2*2*2*2
请问为什么No 3–2 cannot rivefrom No 2–2?
No 4–1 shoulequto No 4–5 multipliee0.4. No 2–2 approximates the implieone-yeforwarrate two yefrom now. C is correct. Because No 2–2 is the mile no rate in Ye2, it will close to the implieone-yeforwarrate two yefrom now (rivefrom the spot curve). No 4–1 shoulequto the proof No 4–5 ane0.8e^{0.8}e0.8. Lastly, No 3–2 cannot rivefrom No 2–2; it crivefrom any other Ye3 no; for example, No 3–2 crivefrom No 3–4 (equto the proof No 3–4 ane4σe4\sigmae4σ ).no4-1到4-5应该是16倍啊!能不能画图说明一下,大家都在问
看提问里回答怪怪的,b答案e0.8不对?10%波动率,乘以8个倍,哪里不对?问
No 2+2aporoximate 1yeforwarrate 2 yefrom now 可否把知识点再写一下