这里N是模拟的次数还是√N是模拟的次数啊

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.

这里N是模拟的次数还是√N是模拟的次数啊

添加评论

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：

这个题目是FRM官方给的答案，解析过程有误。应该是n作为试验次数才对。

我们尽快修改这个题。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

添加评论

1
回答
0
关注
6
浏览

我要回答关注问题

相关问题

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. 哪里有讲到的呀

2025-02-06 00:00 1 · 回答