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nicole 麦子🌳 · 2025年06月30日

3个models

NO.PZ2020033001000071

问题如下:

Aria and Ben are discussing about time-dependent volatility models.

Aria: Time-dependent volatility models are flexible because volatility can change from period to period. And volatility must be an increasing function of short-term rate volatilities.

Ben: Time-dependent volatility functions are useful for pricing interest rate caps and floors.

Who is correct about the time-dependent drift models?

选项:

A.

Aria only.

B.

Ben only.

C.

Both Aria and Ben.

D.

Neither Aria nor Ben.

解释:

B is correct.

考点:Time-dependent volatility model

解析:

Time-dependent volatility models are very flexible and can incorporate increasing, decreasing, and constant short-term rate volatilities between periods. This flexibility is useful for valuing interest rate caps and floors because there is a potential payout each period, so the flexibility of changing interest rates is more appropriate than applying a constant volatility model.

老师,能不能这样总结:

  1. Term structure models有3个
  2. Model1是no drift
  3. Model2带了趋势项λ,举例包含了Ho-Lee和Vasicek两个models
  4. Model3是带time dependent波动率,包括CIR和Lognormal两个
1 个答案

李坏_品职助教 · 2025年06月30日

嗨,爱思考的PZer你好:


你说的123都对。

Model 3是指的包含了time dependent波动率,Model 3包括CIR模型,也对。


但是一般把Lognormal单独作为Model 4:

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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