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shadow · 2020年07月14日

问一道题:NO.PZ2018123101000061

问题如下:

Based on data in Exhibit 1, to calibrate a binomial interest rate tree starting with the calculation of implied forward rates shown in Exhibit 2.

Based on Exhibits 1 and 2, the value of the lower one-period forward rate is closest to:

选项:

A.

3.5122%.

B.

3.5400%.

C.

4.8037%.

解释:

B is correct.

考点:考察利率二叉树模型

解析

需要计算的是Time 1时间点下面节点的利率,因为Volatility为25%,直接通过关系式可得:

0.058365 × e(-0.5) = 0.035400=3.5400%.

老师,为啥不是e的-0.25次方,而是-0.5次方呢。

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已采纳答案

吴昊_品职助教 · 2020年07月14日

同学你好:

同一个时间点上下两个节点之间相差2σ。现在volatility是0.25,两倍就是0.25*2=0.5,因此从上节点推到下节点是e的-0.5次方。

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