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pengyaning · 2023年10月17日

这道题是第二节数量部分的题目还是第四节估值部分的题目？

  1. FRM I
  2. Quantitative

NO.PZ2023091601000095

问题如下：

Suppose you simulate the price path of stock HHF using a geometric Brownian motion model with drift μ = 0, volatility σ = 0.14, and time step Δt = 0.01. Let St be the price of the stock at time t. If S0 = 100, and the first two simulated (randomly selected) standard normal variables are ε1 = 0.263 andε2 = -0.475, what is the simulated stock price after the second step?

选项：

A.

96.79

B.

99.79

C.

99.97

D.

99.70

解释：

The process for the stock prices has mean of zero and volatility of Hence the first step is

The second step is

这道题是第二节数量部分的题目还是第四节估值部分的题目？用到的公式是什么？

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1 个答案

李坏_品职助教 · 2023年10月17日

嗨，从没放弃的小努力你好：


考点就是题目信息里给出的geometric Brownian motion，属于数量分析（Quant Analysis）部分基础班讲义的内容：


从S0到S1:

S1 = S0 + dS0 = S0 + μ* S0 * dt + σ*S0 * dz，这里S0=100, μ是0，σ是0.014，dz=0.263。


从S1到S2:

S2 = S1 + dS1 = S1 + μ* S1 * dt + σ*S1 * dz，这里S1就是上面算出来的S1, μ是0，σ是0.014，dz是-0.475.


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努力的时光都是限量版，加油！

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