An affine factor model is one in which multiple factors $X$ may be present.Which of the following is not true of an affine factor model.
A)The drift $\mu ( X )$
Will be linear in
$X$
)
B)The volatility $\sigma ( X )$
Will be linear in
$X$
)
C)The yield $R ( X )$
Will be linear in
$X$
)
D)The logarithm of the price scaled by maturity is the yield.

Question

An affine factor model is one in which multiple factors $X$ may be present.Which of the following is not true of an affine factor model.
A)The drift $\mu ( X )$
Will be linear in
 $X$
)
B)The volatility $\sigma ( X )$
Will be linear in
 $X$
)
C)The yield $R ( X )$
Will be linear in
 $X$
)
D)The logarithm of the price scaled by maturity is the yield.

Quizplus · Accepted Answer

The Answer of An affine factor model is one in which multiple factors $X$ may be present.Which of the following is not true of an affine factor model.
A)The drift $\mu ( X )$
Will be linear in
 $X$
)
B)The volatility $\sigma ( X )$
Will be linear in
 $X$
)
C)The yield $R ( X )$
Will be linear in
 $X$
)
D)The logarithm of the price scaled by maturity is the yield.

An Affine Factor Model Is One in Which Multiple Factors XXX

An Affine Factor Model Is One in Which Multiple Factors $X$