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nanaluo · 2021年09月29日

请解释一下选项C

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.

请解释一下选项C,没明白
2 个答案
已采纳答案

李坏_品职助教 · 2021年09月29日

嗨,努力学习的PZer你好:


△S这里是连续两行的St-1相减这样算出来的,比如S1-S0, S2-S1, S3-S2,根据表格里的数据△S是没问题的。


当然如果考虑ε的取值错误的话,那△S也是不准确的。但是这道题问的是most likely contains error,所以还是选B比较合适。

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努力的时光都是限量版,加油!

李坏_品职助教 · 2021年09月29日

嗨,从没放弃的小努力你好:


C 项目的意思是股票价格每一阶段的变化量的计算有问题,也就是△S的计算错误。


根据题里面提供的信息,只能判断随机扰动项ε的取值是错误的,因为ε应该服从N(0,1)的标准正态分布,显然这里给出的ε没有负数。

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努力的时光都是限量版,加油!

nanaluo · 2021年09月29日

我能判断出B是错的。想请教下C在这道题里怎么赢过如何判断呢?

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2023-10-30 10:56 2 · 回答

NO.PZ2016062402000039 这道题能详细一下吗

2021-03-21 16:33 1 · 回答

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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