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pinzhixiaoguo · 2022年10月01日

请问波动项里面的根号r,用的r是初始值r0还是跟随时间变化的r?

NO.PZ2020033001000073

问题如下:

Which of the following statements is an advantage of the CIR model?

选项:

A.

During periods of high inflation, basis-point volatility decreases.

B.

Interest rates are always non-negative.

C.

Out-of-the money option prices may differ with the use of normal or lognormal distributions.

D.

Long-run interest rates may not hover around a mean-reverting level.

解释:

B is correct.

考点:CIR model

解析:

A. Basis-point volatility increases during periods of high inflation.

C. It is a disadvantage of CIR model.

D. CIR model is a mean-reverting model.

如题,请问这个波动项里面这个根号r,是用的r0还是rt?这点好像老李在课上没讲。

3 个答案

品职答疑小助手雍 · 2022年10月01日

算r1的话就用r0喽,你这么问其实没有明白这个模型的原理,这个模型的本质就是一期一期的往后推出来一个利率的路径。

然后用蒙特卡洛就可以推出来几千个利率的路径,这样就可以用某个时间的横截面看这个时间的利率符合什么分布。

品职答疑小助手雍 · 2022年10月01日

上一期的,这个课上肯定讲了的。

pinzhixiaoguo · 2022年10月01日

可是我记得V模型课上说的是r0呀。

品职答疑小助手雍 · 2022年10月01日

同学你好,根号下是上一期的r,用来预测这一期的r的。

pinzhixiaoguo · 2022年10月01日

那V模型里面的k(θ-r)里面的r是初始值r0还是上一期r?

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