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

question 12

Multiple Choice

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.

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