公式里dt是时间间隔，比如1年的dt=1，还是说dt是一个漂移项drift？

NO.PZ2018122701000070

问题如下：

In Model 2, if the current short-term rate is 5%, annual drift is 80bps, and short-term rate standard deviation is 3%. Besides, assume the ex-post realization of the dw random variable is 0.3. What is the interest rate in the middle node at the end of year 2 after a 2-period interest rate tree with annual periods is constructed?

选项：

5.0%.

B.5.8%. C.

6.0%.

6.6%.

解释：

D is correct.

考点：Model 2

解析：

r₀ = 5%, λ = 0.8%, σ = 3%, dw = 0.3, dt =1

The tree will recombine to the following rate: r₀ + 2 λdt.

5% + 2 x 0.8% x 1 = 6.6%

如题

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1 个答案

李坏_品职助教 · 2025年06月30日

嗨，从没放弃的小努力你好：

dt表示利率二叉树里面的时间单位，是以年为单位的。这题目说的是with annual periods，所以dt = 1年。

如果这道题改为monthly periods，那么dt = 1/12

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