赵同学回答（1）
苏学科2023-11-06 17:54:35
苏学科同学你好，这里的dt题目说到是1/12哦，所以计算的时候要用1/12
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请问老师，模型中的新增加的lambda✖️dt 是什么意思？At first glance, it seems a bit strange that a risk premium term is added to the physical expectation to yield a risk-neutral drift because
it is common sense that the risk-free rate equals the expected return minuses the risk premium. Intuitively, the risk premium is added here, not subtracted, because the price of an asset (i.e., bond) and interest rate are inversely related. Thus, in modelling the asset price, we subtract the risk premium from the expected return to obtain the risk-free rate, while in modelling the interest rate, we add the risk premium to the interest rate expectation. Therefore, we can
rewrite the Vasicek model as:
dr=k(e一rdt+odw
=x(0-gdt+xdt+odw
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这一道题可能略微有些超纲，他是把之前的模型和v模型混合起来使用了，当然也就更接近于实操了，因为他考虑到了投资者的风险，厌恶偏好，因为风险厌恶，所以会，产生一个risk premium，也就是风险溢价，我们最初用到的模型，实际上假定的是风险中性
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