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speakingcat · 2021年08月08日

题干问的是time dependent drift model

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.

题干问的是time dependent drift model,根据基础班的讲义和标题,指的就是ho lee model,主要是说拉姆达的变化。选项都回答的是time dependent volatility model(也就是model 3),这是两个模型对不上啊。是不是出的有问题?

1 个答案

品职答疑小助手雍 · 2021年08月08日

嗨,爱思考的PZer你好:


emmm描述有误,问的内容是关于time dependent volatility model的,不过看题目描述可以看出来出题人是要考time dependent volatility model的啦,基本不影响做题,避免误导我还是跟后台说一下。

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