NO.PZ2023091601000094
问题如下：
A risk manager has been
requested to provide some indication of accuracy of a Monte Carlo simulation.
Using 1,000 replications of a normally distributed variable S, the relative
error in the one-day 99% VaR is 5%. Under these conditions:
选项：
A.Using 1,000
replications of a long option position on S should create a larger relative
error.
Using 10,000
replications should create a larger relative error.
Using another set
of 1,000 replications will create an exact measure of 5.0% for relative error.
Using 1,000
replications of a short option position on S should create a larger relative
error.
解释：
Short option
positions have long left tails, which makes it more difficult to estimate a
left-tailed quantile precisely. Accuracy with independent draws increases with
the square root of K. Thus increasing the number of replications should shrink
the standard error, so answer B is incorrect.
为啥 left tail变大，误差变小啊？
