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SkipperLin · 2020年03月11日

问一道题:NO.PZ2016062402000034

问题如下:

Which one of the following statements about Monte Carlo simulation is false?

选项:

A.

Monte Carlo simulation can be used with a lognormal distribution.

B.

Monte Carlo simulation can generate distributions for portfolios that contain only linear positions.

C.

One drawback of Monte Carlo simulation is that it is computationally very intensive.

D.

Assuming the underlying process is normal, the standard error resulting from Monte Carlo simulation is inversely related to the square root of the number of trials.

解释:

MC simulations do account for options. The first step is to simulate the process of the risk factor. The second step prices the option, which properly accounts for nonlinearity.

请问一下能否解释D选项为什么对呢 或者 用的公式是什么呢

1 个答案
已采纳答案

袁园_品职助教 · 2020年03月11日

同学你好!

D选项说的是 误差和 模拟次数的平方根 成反比,简单来说就是模拟次数越多,误差越小。

具体公式可以参考基础班 Section 10 “Advantage and Disadvantages of MCS & Reducing Monte Carlo Sampling Error ” 这一节的讲课视频

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