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。
老师,您好,看了针对这道题的提问回答,还是不理解为什么Statement 2不对?如果MCS估不准,那就调整drift啊,修正啊,最终使其估值接近于市价呀,才算是完成。没毛病啊,怎么就错了?