问题如下:
Using the Vasicek model, assume a current short-term rate of 6.2% and an annual volatility of the interest rate process of 2.5%. Also assume that the long-run mean- reverting level is 13.2% with a speed of adjustment of 0.4. Within a binomial interest rate tree, what are the upper and lower node rates after the first month?
选项:
解释:
D is correct. Using a Vasicek model, the upper and lower nodes for time 1 are computed as follows:
long term/short team 一般默认为年化是吗?