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柚柚_柚 · 2020年06月01日

问一道题:NO.PZ2019040801000071 [ FRM I ]

问题如下:

Monte Carlo simulation is flexible and allow financial engineering to price complex financial instruments, Which of the following statements is not a disadvantage of the Monte Carlo technique when solving problems ?

选项:

A.

High computational costs arise with complex markets and issues.

B.

Results of most Monte Carlo experiments are difficult to replicate.

C.

Simulation results are experiment-specific because financial problems are analyzed based on a specific data generating process and set of equations.

D.

Since Monte Carlo simulations always draw random variables from a normally distributed population, they are not accurate when the input variables have fat tails.

解释:

D is correct

考点:Monte Carlo缺点

解析:蒙特卡洛模拟的输入变量或者参数不一定非要服从正态分布,可以根据实际情况进行调整,分布来满足试验的需求。其缺点主要在于使用分布和实际分布不一致会导致试验结果的偏差。

请问选项C为什么错呢。
2 个答案
已采纳答案

袁园_品职助教 · 2020年06月01日

同学你好!

C 选项是说,每一次蒙特卡洛模拟的模拟结果,是要基于该次模拟的,不具有普适性,因为每一组蒙特卡洛模拟都非常依赖我们给它设定的分布。不同的参数输入,会导致模拟结果的差异很大。

MC 的这个特点是他的缺点,不选C

袁园_品职助教 · 2020年06月04日

同学你好!

答案解析里面也说了,MC的输入变量或者参数不一定非要服从正态分布,所以D的说法就是错误的。MC没有这个缺点,所以选D

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