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CFA KING · 2023年05月12日

why Statement 5 is incorrect?

NO.PZ2023040701000054

问题如下:

Hartson asks Alvarez 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 4 Increasing the number of paths increases the estimate’s statistical accuracy.

Statement 5 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 4 is correct.

B.

Only Statement 5 is correct.

C.

Both Statement 4 and Statement 5 are correct.

解释:

Correct Answer: A

Increasing the number of paths using the Monte Carlo method does increase the estimate’s statistical accuracy. It does not, however, provide a value that is closer to the bond’s true fundamental value.

fundamental value is not market price?

1 个答案

pzqa015 · 2023年05月12日

嗨,努力学习的PZer你好:


对的,fundament value不是market price,是合理价值,不是价格。

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努力的时光都是限量版,加油!

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