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BESSIEWANG · 2025年05月17日

monte carlo是为了让路径过程更清晰,所以放弃了精度吗

NO.PZ2018123101000063

问题如下:

About the value of using the Monte Carlo method to simulate a large number of potential interest rate paths to value a bond.

Alvarez makes the following statements:

Statement 1: Increasing the number of paths increases the estimate’s statistical accuracy.

Statement 2: The bond value derived from a Monte Carlo simulation will be closer to the bond’s true fundamental value.

Which of the statements regarding Monte Carlo simulation is correct?

选项:

A.

Only Statement 1 is correct.

B.

Only Statement 2 is correct.

C.

Both Statement 1 and Statement 2 are correct.

解释:

A is correct.

考点:理解蒙特卡洛模拟估值的特点

解析:

使用蒙特卡罗方法增加路径数会增加估计的统计精度。但是,它并不一定会提供更接近债券真实基本价值的数。因此Statement 1正确,Statement 2错误。

我理解的正确吗

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