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中二 · 2020年02月15日

问一道题:NO.PZ2016070201000075 [ FRM II ]

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?

1 个答案

orange品职答疑助手 · 2020年02月15日

同学你好,这边大致了解一下即可:该模型中dt的取值(也就是每一次的时间间隔)是可以人为调整、认为设置成不一样的,这样做的目的是为了使得利率的节点变得重合。 人为调整设置这就相当于B选项所说的manipulated,