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:
A.Calculation to update the stock price
B.Generation of random sample value for ε
C.Calculation of the change in stock price during each period
D.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.
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