问题如下:
Which of the following statements is most likely a disadvantage of the CIR model?
选项:
A.Interest rates are always non-negative.
B.Option prices from the CIR distribution may differ significantly from lognormal or normal distributions.
C.Basis-point volatility increases during periods of high inflation.
D.Long-run interest rates hover around a mean-reverting level.
解释:
Choices A and C are advantages of the CIR model. Out-of-the money option prices may differ with the use of normal or lognormal distributions.
A为什么是优点呢?对例如欧洲负利率国家的情况,这个模型不是就不适用了吗