关于选项A

问题如下：

In the past few years, the markets have experienced very low interest rates, in some rare cases below zero. A risk manager is selecting an interest rate model which should reflect the following properties:

• Negative values should revert to a mean rate.
• The tree should be recombining to make computation feasible.
• The rates should be able to move between positive and negative values.

After researching various models, which of the following is most appropriate?

选项：

A.Black-Karasinski model B.Vasicek model C.Ho-Lee model D.Constant drift model

解释：

Among the models listed, the Vasicek model possesses the desired properties:

It is a mean-reverting model, where interest rates revert back to a long-term mean. This property makes it suitable for capturing the behavior where negative values revert to a mean rate.

It allows for both positive and negative interest rates, making it appropriate for capturing scenarios where rates can move between positive and negative values.

The tree can be made recombining for computational efficiency.