问题如下:
Which of the following statements is true regarding the Black-Karasinski model?
选项:
A. The model produces an interest rate tree that is recombining by definition.
B. The model produces an interest rate tree that is recombining when the dt variable is manipulated.
C. The model is time-varying and mean-reverting with a slow speed of adjustment.
D. The model is time-varying and mean-reverting with a fast speed of adjustment.
解释:
A feature of the time-varying, mean-reverting lognormal model is that it will not recombine naturally. Rather, the time intervals between interest rate changes are recalibrated to force the nodes to recombine. The generic model makes no prediction on the speed of the mean reversion adjustment.
B选项里这个dt mainpulated是什么意思啊?