NO.PZ2020033001000071
问题如下:
Aria and Ben are discussing about time-dependent drift models.
Aria: Time-dependent drift models are flexible because volatility can change from period to period. And volatility must be an increasing function of short-term rate volatilities.
Ben: Time-dependent volatility functions are useful for pricing interest rate caps and floors.
Who is correct about the time-dependent drift models?
选项:
A.Aria only.
B.Ben only.
C.Both Aria and Ben.
D.Neither Aria nor Ben.
解释:
B is correct.
考点:Time-dependent drift model
解析:
Time-dependent volatility models are very flexible and can incorporate increasing, decreasing, and constant short-term rate volatilities between periods. This flexibility is useful for valuing interest rate caps and floors because there is a potential payout each period, so the flexibility of changing interest rates is more appropriate than applying a constant volatility model.
题干问的是time dependent drift model,根据基础班的讲义和标题,指的就是ho lee model,主要是说拉姆达的变化。选项都回答的是time dependent volatility model(也就是model 3),这是两个模型对不上啊。是不是出的有问题?