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CC · 2023年08月09日

MCS 相关问题

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.

B.

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?

1 个答案

pzqa31 · 2023年08月09日

嗨,从没放弃的小努力你好:


蒙特卡洛模拟中为了校正利率路径,需要在所有的利率路径上加上的是一个恒定的drift term,最终使得现金流折现的现值等于现在的市场价格。C选项可以当成一个结论记忆一下哈。

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