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游得过 · 2020年07月22日

问一道题:NO.PZ201712110200000205 第5小题 [ CFA II ]

* 问题详情,请 查看题干

问一为什么不对谢谢题如下图:

选项:

A.

B.

C.

解释:

1 个答案

吴昊_品职助教 · 2020年07月23日

同学你好:

构造Binomial interest rate tree 的 requirements有三个:

  1. Current benchmark interest rate。即要有当前的yield curve
  2. assumption regarding the interest rate model,对利率模型的假设
  3. assumption about interest rate volatility,波动率的假设

因此Statement1是缺条件的,仅仅凭借这两个条件不能create a binomial tree,因此Statement1不正确。

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