NO.PZ2018123101000063
问题如下：
About the value of using the Monte Carlo method to simulate a large number of potential interest rate paths to value a bond.
Alvarez makes the following statements:
Statement 1: Increasing the number of paths increases the estimate’s statistical accuracy.
Statement 2: The bond value derived from a Monte Carlo simulation will be closer to the bond’s true fundamental value.
Which of the statements regarding Monte Carlo simulation is correct?
选项：
A. Only Statement 1 is correct.
B. Only Statement 2 is correct.
C. Both Statement 1 and Statement 1 are correct.
解释：
A is correct.
考点：理解蒙特卡洛模拟估值的特点
解析：
使用蒙特卡罗方法增加路径数会增加估计的统计精度。但是，它并不一定会提供更接近债券真实基本价值的数。因此Statement 1正确，Statement 2错误。
看了前两个提问，知道更多的模拟提高的是统计上的准确性，但还是想问既然假设了市场价格是准确的，蒙特卡洛模拟又会不断迭代使其现值等于市场价格，为什么蒙特卡洛模拟的估值不准确呢？
