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:
为什么后面不是2.5%*根号十二分之一*十二分之一,dt一年是取1,一个月是十二分之一,波动率一年是2.5%,一个月是2.5%*根号十二分之一。是这么理解吗?
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