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anyewumian · 2021年03月21日

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:

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.

这道题能详细解释一下吗

1 个答案

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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