开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Roseline · 2021年04月15日

Time dependent drift和Time dependent volatility是不是都可以用来price interest rate caps and floor

NO.PZ2020033001000071

问题如下:

Aria and Ben are discussing about time-dependent drift models.

Aria: Time-dependent drift models are flexible because volatility can change from period to period. And volatility must be an increasing function of short-term rate volatilities.

Ben: Time-dependent volatility functions are useful for pricing interest rate caps and floors.

Who is correct about the time-dependent drift models?

选项:

A.

Aria only.

B.

Ben only.

C.

Both Aria and Ben.

D.

Neither Aria nor Ben.

解释:

B is correct.

考点:Time-dependent drift model

解析:

Time-dependent volatility models are very flexible and can incorporate increasing, decreasing, and constant short-term rate volatilities between periods. This flexibility is useful for valuing interest rate caps and floors because there is a potential payout each period, so the flexibility of changing interest rates is more appropriate than applying a constant volatility model.

老师好,看了之前其他同学的类似提问,三三老师的回答是time-dependent volatility model更适合来算interest rate的cap 和 floor。但是对比基础班讲义第183页的例题,选项C,也提到了Time dependent drift model可以用来计算interest rate的cap 和 floor,因此我理解两个模型都可以用来算cap和floor吧?


1 个答案

品职答疑小助手雍 · 2021年04月16日

嗨,从没放弃的小努力你好:


可以是都可以的,只是相对来说,灵活性上有差异。而且这个灵活性上不是指Time dependent drift model和time-dependent volatility model之间的对比。

她解释的主要是指在波动性这块的假设上,time-dependent volatility model灵活性比constant volatility的模型灵活性高。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 1

    关注
  • 525

    浏览
相关问题

NO.PZ2020033001000071 问题如下 Aria anBen are scussing about time-pennt volatility mols. AriTime-pennt volatility mols are flexible because volatility cchange from perioto perio Anvolatility must increasing function of short-term rate volatilities.Ben: Time-pennt volatility functions are useful for pricing interest rate caps anfloors.Who is correabout the time-pennt ift mols? A.Aria only. B.Ben only. C.Both Aria anBen. Neither Aria nor Ben. B is correct.考点Time-pennt volatility mol解析Time-pennt volatility mols are very flexible ancincorporate increasing, creasing, anconstant short-term rate volatilities between perio. This flexibility is useful for valuing interest rate caps anfloors because there is a potentipayout eaperio so the flexibility of changing interest rates is more appropriate thapplying a constant volatility mol. Ben: Time-pennt volatility functions are useful for pricing interest rate caps anfloors.这个函数为什么可以定下来利率的最高和最低点?

2024-04-20 17:34 1 · 回答

NO.PZ2020033001000071 问题如下 Aria anBen are scussing about time-pennt volatility mols. AriTime-pennt volatility mols are flexible because volatility cchange from perioto perio Anvolatility must increasing function of short-term rate volatilities.Ben: Time-pennt volatility functions are useful for pricing interest rate caps anfloors.Who is correabout the time-pennt ift mols? A.Aria only. B.Ben only. C.Both Aria anBen. Neither Aria nor Ben. B is correct.考点Time-pennt volatility mol解析Time-pennt volatility mols are very flexible ancincorporate increasing, creasing, anconstant short-term rate volatilities between perio. This flexibility is useful for valuing interest rate caps anfloors because there is a potentipayout eaperio so the flexibility of changing interest rates is more appropriate thapplying a constant volatility mol. 如题

2024-03-17 19:15 1 · 回答

NO.PZ2020033001000071 问题如下 Aria anBen are scussing about time-pennt volatility mols. AriTime-pennt volatility mols are flexible because volatility cchange from perioto perio Anvolatility must increasing function of short-term rate volatilities.Ben: Time-pennt volatility functions are useful for pricing interest rate caps anfloors.Who is correabout the time-pennt ift mols? A.Aria only. B.Ben only. C.Both Aria anBen. Neither Aria nor Ben. B is correct.考点Time-pennt volatility mol解析Time-pennt volatility mols are very flexible ancincorporate increasing, creasing, anconstant short-term rate volatilities between perio. This flexibility is useful for valuing interest rate caps anfloors because there is a potentipayout eaperio so the flexibility of changing interest rates is more appropriate thapplying a constant volatility mol. volatility must increasing function of short-term rate volatilities.老师A这句话错了吗?短期波动率不就是一个函数吗?

2022-11-03 10:32 2 · 回答

NO.PZ2020033001000071问题如下 Aria anBen are scussing about time-pennt volatility mols. AriTime-pennt volatility mols are flexible because volatility cchange from perioto perio Anvolatility must increasing function of short-term rate volatilities.Ben: Time-pennt volatility functions are useful for pricing interest rate caps anfloors.Who is correabout the time-pennt ift mols? A.Aria only.B.Ben only.C.Both Aria anBen.Neither Aria nor Ben. B is correct.考点Time-pennt volatility mol解析Time-pennt volatility mols are very flexible ancincorporate increasing, creasing, anconstant short-term rate volatilities between perio. This flexibility is useful for valuing interest rate caps anfloors because there is a potentipayout eaperio so the flexibility of changing interest rates is more appropriate thapplying a constant volatility mol. 如题。能一下答案的这句话么?

2022-04-07 21:17 1 · 回答

NO.PZ2020033001000071问题如下 Aria anBen are scussing about time-pennt volatility mols. AriTime-pennt volatility mols are flexible because volatility cchange from perioto perio Anvolatility must increasing function of short-term rate volatilities.Ben: Time-pennt volatility functions are useful for pricing interest rate caps anfloors.Who is correabout the time-pennt ift mols? A.Aria only. B.Ben only. C.Both Aria anBen. Neither Aria nor Ben. B is correct.考点Time-pennt volatility mol解析Time-pennt volatility mols are very flexible ancincorporate increasing, creasing, anconstant short-term rate volatilities between perio. This flexibility is useful for valuing interest rate caps anfloors because there is a potentipayout eaperio so the flexibility of changing interest rates is more appropriate thapplying a constant volatility mol. 老师好,如题请问第一句话错在哪

2022-03-20 16:12 1 · 回答