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sophialinlinlin · 2025年02月18日

关于C选项进一步讨论

NO.PZ2018122801000084

问题如下:

You are running a Monte Carlo simulation to price a portfolio of options. When generating random numbers for use in the simulation:

选项:

A.

The stratified sampling method eliminates extreme observations.

B.

A truly random number generator would avoid clustered observations.

C.

A congruential pseudorandom number generator creates sequences converging to a constant value.

D.

The Latin hypercube sampling method ensures that all strata are sufficiently well-represented.

解释:

D is correct.

考点 Monte Carlo Methods

我对C选项的理解有一些模糊,我觉得C选项这句话本身好像没错吧?或者是我没有理解到位,老师在讲伪随机数的时候提到伪随机数的结果是可以复制的,那么这个congruential的seed是不是就是就会形成constant的结果呢?

1 个答案

李坏_品职助教 · 2025年02月19日

嗨,从没放弃的小努力你好:


C选项本身没错,但是这种方法不适合蒙特卡罗模拟。

C选项:一个伪随机数发生器创建了收敛到一个恒定值的序列。monte carlo方法的本质就是通过发射随机数的方法来去模拟路径,如果一个方法最后产生了收敛于某一个固定值的随机序列,那这些随机数就违背了蒙特卡罗模拟的目的,所以C选项不适合蒙特卡罗模拟,不能选C。

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2022-09-05 21:17 1 · 回答

     老师你好,能翻译一下?还有,为什么B不对呢?

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