这题公式是什么呀

NO.PZ2020033001000069

问题如下：

In the Vasicek model, if the current short-term rate equals 5.2% and the annual volatility of the interest rate process is 2%. The long-run mean- reverting level is assumed to be 12% with a speed of adjustment of 0.5. What are the upper and lower node rates after the first month in the binomial interest rate tree?

选项：

Upper node

Lower node

6.67%

4.91%

6.67%

5.24%

6.06%

5.24%

6.06%

4.91%

解释：

D is correct.

考点：Vasicek model

解析：

$Upper\;node=5.2\%+\frac{{(0.5)}{(12\%-5.2\%)}}{12}+\frac{2\%}{\sqrt{12}}=6.06\%\\Lower\;node=5.2\%+\frac{{(0.5)}{(12\%-5.2\%)}}{12}-\frac{2\%}{\sqrt{12}}=4.91\%$

这题公式是什么呢？不记得了

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1 个答案

袁园_品职助教 · 2021年05月11日

就是题目中提到的V Model

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NO.PZ2020033001000069 问题如下 In the Vasicek mol, if the current short-term rate equals 5.2% anthe annuvolatility of the interest rate process is 2%. The long-run mean- reverting level is assumeto 12% with a speeof austment of 0.5. Whare the upper anlower no rates after the first month in the binomiinterest rate tree? Upper no Lower no A.6.67% 4.91% B.6.67% 5.24% C.6.06% 5.24% 6.06% 4.91% is correct. 考点Vasicek mol解析Upper no=5.2%+(0.5)(12%−5.2%)12+2%12=6.06%Lower no=5.2%+(0.5)(12%−5.2%)12−2%12=4.91%Upper\;no=5.2\%+\frac{{(0.5)}{(12\%-5.2\%)}}{12}+\frac{2\%}{\sqrt{12}}=6.06\%\\Lower\;no=5.2\%+\frac{{(0.5)}{(12\%-5.2\%)}}{12}-\frac{2\%}{\sqrt{12}}=4.91\%Upperno=5.2%+12(0.5)(12%−5.2%)+122%=6.06%Lowerno=5.2%+12(0.5)(12%−5.2%)−122%=4.91% 讲义上的公式後半部是σ*，李老师写的後半部是εσ*()^，也就是说=ε*()^那这题题干为啥没给ε，而是直接让我们用σ*()^来计算?

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NO.PZ2020033001000069 这题的公式最后面为什么2%要除以根号12

2021-11-29 22:53 1 · 回答

这题公式是什么呀

1 个答案

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