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.
1、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.为什么呢？
2、利率模型只能是lognormal？正太分布行吗？
