習(xí)題:
  Exercise:
  Which of the following best describes the GMB MCS?
  A     Stochastic drift (scaling with time) plus deterministic shock (volatility scaling with square root of time).
  B     Stochastic drift (scaling with square root of time) plus deterministic shock (volatility scaling with time).
  C     Deterministic drift (scaling with time) plus stochastic shock (volatility scaling with square root of time).
  D     Deterministic drift (scaling with square root of time) plus stochastic shock (volatility scaling with time).
  Answer: C
  Deterministic drift (scaling with time) plus stochastic shock (volatility scaling with square root of time).
  相關(guān)知識(shí)點(diǎn):
  Geometric Brownian Motion(GBM) Model
  Where:
  St = asset price
  dSt = infinitesimally small price changes
  = constant instantaneous drift term
  = constant instantaneous volatility
  dz = normally distributed random variable (mean = 0, variance = dt)
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