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Ivy1917 · 2025年05月01日

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NO.PZ202504240100010802

问题如下:

Which of Annisquam’s comments regarding binomial interest rate trees is least likely correct?

选项:

A.Comment 1

B.Comment 2

C.Comment 3

解释:

Solution
  1. A is correct. Annisquam is incorrect in Comment 1. The interest rate tree performs two functions in the valuation process: (1) generating the cash flows that are interest rate dependent and (2) supplying the interest rates used to determine the present value of the cash flows.

  2. B is incorrect because Comment 3 is correct.

  3. C is incorrect because Comment 2 is correct.

The Arbitrage-Free Valuation Framework
  • describe a binomial interest rate tree framework

二叉树是路径依赖还是蒙特卡洛是路径依赖呢

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