请问这个考点是考什么

NO.PZ2024120401000046

问题如下：

Suppose that you are interested in approximating the expected value of an option. Based on an initial sample of 100 replications, you estimate that the fair value of the option is USD 47 using the mean of these 100 replications. You also note that the standard deviation of these 100 replications is USD 12.30. How many simulations would you need to run in order to obtain a 95% confidence interval that is less than 1% of the fair value of the option?

选项：

103

102

1025

1026

解释：

The standard deviation is USD 12.30, and a 95% confidence interval is:

so the width is:

If we want this value to be 1% of USD 47.00, which is 0.47, then

So we need 103 replications.

哪里有讲到的呀

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1 个答案

李坏_品职助教 · 2025年02月06日

嗨，从没放弃的小努力你好：

题目问你，需要做多少次试验，才能使得95%置信度下的置信区间的宽度，比期权价值（47）的1%还要小，也就是问你n是多少。

本题的考点是FRM一级quant置信区间(confidence interval)的公式：

置信区间的宽度 = 2 * Z * σ/根号n。95%的Z值是1.96，σ是12.30，所以置信区间的宽度=2*1.96*12.30/根号n。

现在让2*1.96*12.30/根号n = 47*1%,

可以得出根号n是102.6，约等于103. 那么n = 10609.

这个题目的答案是FRM教材官方的参考答案，答案解析写的有问题，最后应该是10609次试验。我们会尽快修改题目。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2024120401000046 问题如下 Suppose thyou are interestein approximating the expectevalue of option. Baseon initisample of 100 replications, you estimate ththe fair value of the option is US47 using the meof these 100 replications. You also note ththe stanrviation of these 100 replications is US12.30. How many simulations woulyou neeto run in orr to obtain a 95% confinintervthis less th1% of the fair value of the option? A.103 B.102 C.1025 1026 The stanrviation is US12.30, ana 95% confinintervis: so the wih is:If we want this value to 1% of US47.00, whiis 0.47, then So we nee103 replications. 这里N是模拟的次数还是√N是模拟的次数啊

2025-02-06 13:39 1 · 回答