Which of the following is a limitation of using the Black model to price interest rate options?
A) the risk-free rate is not constant
B) the volatility is not constant
C) interest rates are not lognormally distributed
D) all of the above
E) none of the above
Correct Answer:
Verified
Q2: Swaptions are like forward swaps in which
Q3: Which of the following is not required
Q4: Which of the following is a 1
Q5: A payer swaption is equivalent to which
Q6: The fixed rate on an FRA expiring
Q7: An FRA differs from an interest rate
Q8: Find the approximate market value of a
Q9: The advantage of a collar over a
Q10: A bank buys an interest rate floor
Q11: An FRA is most like which of
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