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.
Only Statement 5 is correct.
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?