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很不酷 · 2021年01月22日

请问选项C应该怎么理解？

  1. FRM II
  2. Market Risk Measurement And Management

问题如下：

Which of the following statements is an advantage of the CIR model?

选项：

A.

During periods of high inflation, basis-point volatility decreases.

B.

Interest rates are always non-negative.

C.

Out-of-the money option prices may differ with the use of normal or lognormal distributions.

D.

Long-run interest rates may not hover around a mean-reverting level.

解释：

B is correct.

考点：CIR model

解析：

A. Basis-point volatility increases during periods of high inflation.

C. It is a disadvantage of CIR model.

D. CIR model is a mean-reverting model.

课程中对CIR模型讲的不多，麻烦介绍一下它的特点和用法。

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2 个答案

品职答疑小助手雍 · 2021年02月01日

V model是假设的mean reverting和constant vol的波动项的，只是因为它包含了mean reverting的成份，所以越长期比单独的constant vol 波动越小

品职答疑小助手雍 · 2021年01月22日

嗨，爱思考的PZer你好：


这个直接看公式的对比就可以发现，CIR的前半段是跟vasicek一样的，也就是一个均值复归的假设。

后半段的话，vasicek是假设了一个不变的波动率的波动项，CIR对波动项的假设又发生了变化，加入了一个假设就是波动率和当前的短期利率的开方有关系。

至于用法，这些各种model只是代表了不同的假设而已，没有特定的用法，想假设什么样的情形，就可以做出对应假设情形的模型来建模，都是完全灵活的。


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kayi · 2021年02月01日

V model不是假设ir 长期mean revert and decreasing vol?怎么是constant vol

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