In the Black-Derman-Toy (BDT)model,short Rates Have

question 5

Multiple Choice

In the Black-Derman-Toy (BDT) model,short rates have

• A)Constant volatility for all maturities.
• B)Volatility that changes by maturity of the short rate.
• C)Volatility that varies by maturity and level of the short rate,i.e. ,state-dependent volatility.
• D)Stochastic volatility.

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