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700 · 2017年10月22日

请帮我解释一下选项的意思,谢谢问一道题:NO.PZ2016062402000034 [ FRM I ]

问题如下图:
选项:
A.
B.
C.
D.
解释:
1 个答案

Shimin_CPA税法主讲、CFA教研 · 2017年10月22日

A蒙特卡洛模拟可以用在对数正态分布

B蒙特卡洛模拟只能用于线性的投资组合 (错,可以用于option,非线性 )

C蒙特卡洛模拟的一个缺点是计算复杂

D假设正态分布,蒙特卡洛模拟的标准误差与试验次数的平方根逆相关。

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NO.PZ2016062402000034问题如下 Whione of the following statements about Monte Carlo simulation is false? Monte Carlo simulation cusewith a lognormstribution. Monte Carlo simulation cgenerate stributions for portfolios thcontain only linepositions. One awbaof Monte Carlo simulation is thit is computationally very intensive. Assuming the unrlying process is normal, the stanrerror resulting from Monte Carlo simulation is inversely relateto the square root of the number of trials. MC simulations account for options. The first step is to simulate the process of the risk factor. The seconstep prices the option, whiproperly accounts for nonlinearity. a和矛盾吗,正太分布的区别

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