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szxxx · 2020年03月14日

问一道题:NO.PZ201702190300000401 第1小题 [ CFA II ]

* 问题详情,请 查看题干

问题如下:

1.Lee’s statement about the assumptions of the BSM model is accurate with regard to:

选项:

A.

interest rates but not continuous prices.

B.

continuous prices but not the return distribution.

C.

the stock return distribution but not the volatility.

解释:

B is correct.

Although the BSM model assumes continuous stock prices, it also assumes that stock returns are lognormally distributed (not normally distributed).

请问老师 题里说的interest rate 是constant是对的吗 我知道 riskfree r和分红是要constant的。 谢谢
1 个答案

xiaowan_品职助教 · 2020年03月15日

嗨,从没放弃的小努力你好:


同学你好,assumption 中应说明是constant risk-free interest rate,没有单独说interest rate的说法。


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