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夏雪xiao96021 · 2020年03月13日

问一道题：NO.PZ2016062402000034

  1. FRM I
  2. Quantitative

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.

能翻译一下d选项吗，为什么d是正确的呢

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1 个答案

品职答疑小助手雍 · 2020年03月14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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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

2022-11-18 15:52 1 · 回答

NO.PZ2016062402000034 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. 1）A正确是因为蒙特卡洛模拟基于假设，所以input可以是任何分布，自然lognormstribution也可以； 2）B不正确是因为模拟出的路径可以是任何形态的； 3）那老师，请问几何布朗运动的那个公式是不是也可以服从任何分布啊？

2022-02-11 23:59 1 · 回答

NO.PZ2016062402000034 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. intensive不是很好吗？这样的话能够得出更多的数据，更加精准，我的个人理解； 同时B也不是很懂，是因为only linear所以不对吗？ 谢谢老师的解答~

2022-01-23 03:36 1 · 回答

NO.PZ2016062402000034 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. 请问老师，B是错的可以选出，但是么理解呢？

2021-11-01 16:12 1 · 回答