求解释

问题如下：

A risk manager has been requested to provide some indication of the accuracy of a Monte Carlo simulation. Using 1,000 replications of a normally distributed variable S, the relative error in the one-day 99% VAR is 5%. Under these conditions,

选项：

A.

Using 1,000 replications of a long option position on S should create a larger relative error.

B.

Using 10,000 replications should create a larger relative error.

C.

Using another set of 1,000 replications will create an exact measure of 5.0% for relative error.

D.

Using 1,000 replications of a short option position on S should create a larger relative error.

解释：

Short option positions have long left tails, which makes it more difficult to estimate a left-tailed quantile precisely. Accuracy with independent draws increases with the square root of K. Thus increasing the number of replications should shrink the standard error, so answer B is incorrect.