a**x
发帖数: 9 | 1 一个risk-neutral scenario generator既model interest rate又model equity
return: short rate用CIR，equity用lognormal(risk free rate用current yield
curve)。结果是average(exp(short rate))运大于average(St/S0)，根本不像是risk
neutral。请教大家会是什么造成这样的结果。可不可以在一个risk-neutral scenario
里既model interest rate又model equity return? |
K******r
发帖数: 152 | 2 为啥average(exp(short rate))要和average(St/S0)接近？
和t还有关系呢，你忘了乘t了吧，t又不是1。 |
r**u
发帖数: 69 | 3 If your risk free rate is current yield curve, is your CIR model consistant
with that? I don't think you can do that with CIR. That's why people use
market model (BGM).
scenario
【在 a**x 的大作中提到】
: 一个risk-neutral scenario generator既model interest rate又model equity
: return: short rate用CIR，equity用lognormal(risk free rate用current yield
: curve)。结果是average(exp(short rate))运大于average(St/S0)，根本不像是risk
: neutral。请教大家会是什么造成这样的结果。可不可以在一个risk-neutral scenario
: 里既model interest rate又model equity return?
|
a**x
发帖数: 9 | 4 Does BGM model assume forward rates follow lognormal distribution? I am
modeling a 25-year option. Interest rates from lognormal distution can
exceed 200% for a 25-year projection. That is why I gave up on BGM model and
hoping CIR(extended version) can get more reasonable returns. Now I
modified my model as follows: dSt/St=(R(t)-sigma^2)*dt+sigma*Rho*dWt, where
R(t) is the output from extended CIR, instead of current yield curve. Do you
think this approach is doable?
Another problem is the opti
【在 r**u 的大作中提到】
: If your risk free rate is current yield curve, is your CIR model consistant
: with that? I don't think you can do that with CIR. That's why people use
: market model (BGM).
:
: scenario
|
