NO.PZ201712110200000205
问题如下：
Which of the various statements regarding binomial interest rate trees is correct?
选项：
A.Statement 1
B.Statement 2
C.Statement 3
解释：
B is correct.
Two methods are commonly used to estimate potential interest rate volatility in a binomial interest rate tree. The first method bases estimates on historical interest rate volatility. The second method uses observed market prices of interest rate derivatives.
Statement 1 is incorrect because there are three requirements to create a binomial interest rate tree, not two. The third requirement is an assumption regarding the interest rate model. Statement 3 is incorrect because the valuation of a bond using spot rates and the valuation of a bond from an interest rate tree will be the same regardless of the volatility assumption used in the model.
老师好，
当时我认为statement3不对是我当时觉得那个volatility的变动幅度是会改变债券在t0时刻的价格的，只是多过还是少过就不确定了，而不是像题目说的多过，所以我没选statement3.
我之所以认为volatility的变动幅度是会改变债券在t0时刻的价格的，是因为我之前做过一道题，他说两个二叉树，A比B的volatility更大，那么A的forward rate应该比B高一些，因为upper node对forward rate的影响比Lower node的影响大。
接下来我又想，forward rate其实相当于upper node和lower node的中值，所以forward rate也变了，那么后续折现到t0时刻的债券价值也会变。而不是和解析说的那样。
请问老师我哪里想错了，请老师帮忙指正，谢谢。
