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金融民工阿聪 · 2021年04月01日

C是什么意思呢?

NO.PZ2020033001000073

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.

C是什么意思呢?

3 个答案

品职答疑小助手雍 · 2022年04月08日

在提问里回答了的,这地方,尤其是C这个选项,了解一下即可,书上也没有说原因。

品职答疑小助手雍 · 2021年04月22日

嗨,从没放弃的小努力你好:


单纯就字面意思,OTM的put option估值价格用三个model不一样,至于怎么不一样,除了图片,原版书也没给定性结论,毕竟只写了实证研究没说推理基础,所以书上没有更深的说法。结论只是distribution的应用会影响模型估值的结果。

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品职答疑小助手雍 · 2021年04月01日

嗨,从没放弃的小努力你好:


C是原版书根据实证图像得到的结论,没有推理,不过也不是重点,学有余力记一下就行。

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加油吧,让我们一起遇见更好的自己!

thatvinciyu · 2021年04月22日

想问一下红框内的是具体指的什么意思?三个model怎么个不同法?谢谢

马杰 · 2022年04月08日

为什么说C是cir的缺点呢?

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