为什么不选A?解析没有说明,讲解说若波动率波动,则哪种方法都不合适。
但题库还有这题:
When using the Monte Carlo approach to estimate the value of mortgage-backed securities(MBSs) the model should:?
A use one consistent volatility measure for all interest rate paths.
B use a short/long yield volatility approach.
C use annual interest rates over the entire life of the mortgage security.
D ignore the distribution of the interest rate paths used to determine the theoretical value.
正确答案B 您的答案B
这不是用多个波动率估计吗