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