这道题能详细解释一下吗

NO.PZ2016062402000039

问题如下：

Continuing with the previous question, you have implemented the simulation process discussed earlier using a time interval △t= 0.001, and you are analyzing the following stock price path generated by your implementation.

Give this sample, which of the following simulation steps most likely contains an error?

选项：

Calculation to update the stock price

Generation of random sample value for ε

Calculation of the change in stock price during each period

None of the above

解释：

The random variable e should have a standard normal distribution, which means that it should have negative as well as positive values, which should average close to zero. This is not the case here. This is probably a uniform variable instead.

这道题能详细解释一下吗

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品职答疑小助手雍 · 2021年03月21日

嗨，努力学习的PZer你好：

这个表格表示一个path就是价格一期一期的变化的情况，S0是30，加上下期的△S应该要等于下一期的S1.

我说的S0，S1就代指St-1那一列数按时间t推移一期一期往后的各个价格。

A的意思就是S0+△S要等于下一行的S1，表格里都是符合的。

C的意思是通过每期服从标准正态分布的ε乘以波动率求的每期△S，波动性这个条件在上一题给的条件里应该有，或者不看上一题，就看每期△S和ε比例都相等也可以推出每期△S计算式正确的。

B就是ε这个每期的随机数没错，这显然是不对的，因为ε都没取到过负数，显然是错的。

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NO.PZ2016062402000039 问题如下 Previous questionConsir a stothpays no vin, ha volatility of 25% panhexpectereturn of 13% pThe current stopriis S0S_0S0 = $30. This implies the mol St+1=St(1+0.13△t+0.25△tε)S_{t+1}=S_t{(1+0.13\bigtriangleup t+0.25\sqrt{\bigtriangleup t}\varepsilon)}St+1=St(1+0.13△t+0.25△tε), where ε is a stanrnormranm variable. To implement this simulation, you generate a path of the stopristarting t = 0, generating a sample for e, upting the stopriaccorng to the mol, incrementing t 1, anrepeating this process until the enof the horizon is reache QWhistrategies for generating a sample for ε will implement this simulation properly?AGenerate a sample for ε using the inverse of the stanrnormcumulative stribution of a sample value awn from a uniform stribution between 0 an1.-------------------Continuing with the previous question, you have implementethe simulation process scusseearlier using a time interv△t= 0.001, anyou are analyzing the following stopripath generateyour implementation.Give this sample, whiof the following simulation steps most likely contains error? A.Calculation to upte the stopri B.Generation of ranm sample value for ε C.Calculation of the change in stopriring eaperio None of the above The ranm variable e shoulhave a stanrnormstribution, whimeans thit shoulhave negative well positive values, whishoulaverage close to zero. This is not the case here. This is probably a uniform variable instea Generate a sample for ε using the inverse of the stanrnormcumulative stribution of a sample value awn from a uniform stribution between 0 an1. 是什么意思？

2023-10-30 10:56 2 · 回答

NO.PZ2016062402000039 Generation of ranm sample value for ε Calculation of the change in stopriring eaperio None of the above The ranm variable e shoulhave a stanrnormstribution, whimeans thit shoulhave negative well positive values, whishoulaverage close to zero. This is not the case here. This is probably a uniform variable instea 请一下C，没明白

2021-09-29 08:52 2 · 回答

“C的意思是通过每期服从标准正态分布的ε乘以波动率求的每期△S，波动性这个条件在上一题给的条件里应该有，或者不看上一题，就看每期△S和ε比例都相等也可以推出每期△S计算式正确的。”----ε乘以波动率求每期ΔS，这是哪里的知识点？GSM的维纳过程不是ε乘以根号Δt吗？

2020-07-01 16:29 2 · 回答

ABC是什么意思？AC如何理解？

2019-09-08 20:26 1 · 回答

这道题能详细解释一下吗

1 个答案

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