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lion · 2022年11月18日

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NO.PZ2016062402000034

问题如下:

Which one of the following statements about Monte Carlo simulation is false?

选项:

A.

Monte Carlo simulation can be used with a lognormal distribution.

B.

Monte Carlo simulation can generate distributions for portfolios that contain only linear positions.

C.

One drawback of Monte Carlo simulation is that it is computationally very intensive.

D.

Assuming the underlying process is normal, the standard error resulting from Monte Carlo simulation is inversely related to the square root of the number of trials.

解释:

MC simulations do account for options. The first step is to simulate the process of the risk factor. The second step prices the option, which properly accounts for nonlinearity.

a和d不矛盾吗,正太分布的区别

1 个答案

品职答疑小助手雍 · 2022年11月19日

同学你好,不矛盾啊,蒙特卡洛想用什么分布假设未来的走势就用什么分布,所以lognormal可以用,正态也可以用。

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NO.PZ2016062402000034 Monte Carlo simulation cgenerate stributions for portfolios thcontain only linepositions. One awbaof Monte Carlo simulation is thit is computationally very intensive. Assuming the unrlying process is normal, the stanrerror resulting from Monte Carlo simulation is inversely relateto the square root of the number of trials. MC simulations account for options. The first step is to simulate the process of the risk factor. The seconstep prices the option, whiproperly accounts for nonlinearity. 1)A正确是因为蒙特卡洛模拟基于假设,所以input可以是任何分布,自然lognormstribution也可以; 2)B不正确是因为模拟出的路径可以是任何形态的; 3)那老师,请问几何布朗运动的那个公式是不是也可以服从任何分布啊?

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