NO.PZ2016062402000039
问题如下：
Previous question：
Consider a stock that pays no dividends, has a volatility of
25% pa, and has an expected return of 13% pa. The current stock price is
= $30. This implies the model , where ε is
a standard normal random variable. To implement this simulation, you
generate a path of the stock price by starting at t = 0, generating a
sample for e, updating the stock price according to the model,
incrementing t by 1, and repeating this process until the end of the
horizon is reached.
Q：Which strategies for generating a sample for ε will implement this simulation properly?
A：Generate a sample for ε by using the inverse of the standard normal cumulative distribution of a sample value drawn from a uniform distribution between 0 and 1.-------------------
Continuing with the previous question, you have implemented the simulation process discussed earlier using a time interval △t= 0.001, and you are analyzing the following stock price path generated by your implementation.
Give this sample, which of the following simulation steps most likely contains an error?
选项：
A.Calculation to update the stock price
B.Generation of random sample value for ε
C.Calculation of the change in stock price during each period
D.None of the above
解释：
The random variable e should have a standard normal distribution, which means that it should have negative as well as positive values, which should average close to zero. This is not the case here. This is probably a uniform variable instead.
Generate a sample for ε by using the inverse of the standard normal cumulative distribution of a sample value drawn from a uniform distribution between 0 and 1. 是什么意思？
