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安宝123 · 2020年02月05日

问一道题:NO.PZ2018123101000101

问题如下:

Annisquam wants Hake to develop a program for pricing securities that are interest rate path dependent, such as mortgage-backed securities (MBS). He believes that using the Monte Carlo method and employing 2,000 simulations will provide an average present value across all scenarios equal to the actual market value of the securities. Hake runs a simulation and uses it to value a benchmark bond. He finds that the value generated does not equal the market price of the bond.

To correct the problem Hake encounters when using a Monte Carlo simulation, he would most likely:

选项:

A.

adjust the volatility assumption.

B.

increase the number of simulations.

C.

add a constant to all interest rates on all paths.

解释:

Using a Monte Carlo simulation, the model will produce benchmark bond values equal to the market prices only by chance. A constant is added to all interest rates on all paths such that the average present value for each benchmark bond equals its market value.

这里不是应该校正 利率调整drift term吗?

1 个答案

吴昊_品职助教 · 2020年02月06日

嗨,从没放弃的小努力你好:


蒙特卡洛模拟中为了校正利率路径,需要在所有的利率路径上加上的是一个恒定的drift term,最终使得现金流折现的现值等于现在的市场价格。C选项可以当成一个结论记忆一下。


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