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wawjbng · 2021年07月08日

A的后半句错在哪

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.

请问老师A的后半句错在哪里呢
1 个答案

品职答疑小助手雍 · 2021年07月09日

嗨,努力学习的PZer你好:


为什么可以设定每期的drift项不同,就是因为每期里面短期利率可能涨可能跌可能持平,如果time-dependent的模型drift项只能increasing的话,那forward利率的大趋势只会升高不会下降了,这显然是违背实际情况的。

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