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carrie_w2008 · 2024年03月03日

B选项为什么是对的？

  1. FRM II
  2. Market Risk Measurement And Management

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.

B选项为什么是对的？

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1 个答案

品职答疑小助手雍 · 2024年03月04日

同学你好，当R小于θ的时候，前半段的牵引项必然是正的，此时后半段哪怕真的取到负的值了，但是R的0.5次方是个比较小的数，几乎可以忽略不计了，因此总体是大于0的，而当R大于θ的时候，此时前半段牵引项会把R向下拉，如果只有牵引项，最多也就拉回θ的位置，θ虽然可以设置成负值，但是现实中θ为负几乎不可能，后半段同理哪怕ε取到负值，R的0.5次方也是个很小的书，因此后面的随机项一般不至于把利率拉到0以下

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