※ [本文轉錄自 CCUfinGrad93 看板]
作者: freelancerr (lancer) 看板: CCUfinGrad93
標題: 結構第二題
時間: Tue Jun 7 11:10:55 2005
結構第二題的同學,看一下哦!
question:
當我使用利率模型模擬未來利率走勢時，利率會出現負值的情況，請問這是否是正常的
呢?
**For Vasicek model, due to its basic assumption, it is possible to have
negative rates. One way to handle this is to ignore it (use only
simulation
path with positive rates to calculate return). This should not happen to
CIR model (again, by its assumption)
Dr. Hsueh
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