NO.PZ2020011101000051
问题如下:
Suppose you are interested in approximating the expected value of an option. Based on an initial sample of 100 replications, you estimate that the fair value of the option is USD 47 using the mean of these 100 replications. You also note that the standard deviation of these 100 replications is USD 12.30. How many simulations would you need to run in order to obtain a 95% confidence interval that is less than 1% of the fair value of the option? How many would you need to run to get within 0.1%?
选项:
解释:
The standard deviation is USD 12.30, and a 95% confidence interval is and so the width is .
If we want this value to be 1% of USD 47.00, then =0.47 (so 103), n=1032=10609
Using 0.1%, we would need 1,025.8 (replace 0.47 with 0.047) and so 1,026 replication, so n=10262 =1052676
请问为什么1%对应的是0.47?0.1%对应的是0.047呢?