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
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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.
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B is incorrect because Comment 3 is correct.
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C is incorrect because Comment 2 is correct.
- 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