NO.PZ2018123101000101
问题如下:
Annisquam wants Hake to develop a program for pricing securities that are interest rate path dependent, such as mortgage-backed securities (MBS). He believes that using the Monte Carlo method and employing 2,000 simulations will provide an average present value across all scenarios equal to the actual market value of the securities. Hake runs a simulation and uses it to value a benchmark bond. He finds that the value generated does not equal the market price of the bond.
To correct the problem Hake encounters when using a Monte Carlo simulation, he would most likely:
选项:
A.adjust the volatility assumption.
increase the number of simulations.
C. add a constant to
all interest rates on all paths.
解释:
Using a Monte Carlo simulation, the model will produce
benchmark bond values equal to the market prices only by chance. A constant is
added to all interest rates on all paths such that the average present value
for each benchmark bond equals its market value.
老师,我不太明白这道题,为什么加个恒定的反而调整了,而不是调整波动率?