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· 2022年01月23日

想问一下选项C为什么是正确的呀？

  1. FRM I
  2. Quantitative

NO.PZ2016062402000034

问题如下：

Which one of the following statements about Monte Carlo simulation is false?

选项：

A.

Monte Carlo simulation can be used with a lognormal distribution.

B.

Monte Carlo simulation can generate distributions for portfolios that contain only linear positions.

C.

One drawback of Monte Carlo simulation is that it is computationally very intensive.

D.

Assuming the underlying process is normal, the standard error resulting from Monte Carlo simulation is inversely related to the square root of the number of trials.

解释：

MC simulations do account for options. The first step is to simulate the process of the risk factor. The second step prices the option, which properly accounts for nonlinearity.

intensive不是很好吗？这样的话能够得出更多的数据，更加精准，我的个人理解；

同时B选项也不是很懂，是因为only linear所以不对吗？

谢谢老师的解答~

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1 个答案

品职答疑小助手雍 · 2022年01月23日

同学你好，蒙特卡洛模拟计算量非常大，计算量大是缺点，算起来麻烦。它本身最后算出来也就是个分布，增加实验次数（而不是方法本身）可能让它变得精确，同时还要求更大的计算量。

蒙特卡洛想怎么假设路径就怎么假设，不一定非要是线性的路径假设。

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NO.PZ2016062402000034问题如下 Whione of the following statements about Monte Carlo simulation is false? Monte Carlo simulation cusewith a lognormstribution. Monte Carlo simulation cgenerate stributions for portfolios thcontain only linepositions. One awbaof Monte Carlo simulation is thit is computationally very intensive. Assuming the unrlying process is normal, the stanrerror resulting from Monte Carlo simulation is inversely relateto the square root of the number of trials. MC simulations account for options. The first step is to simulate the process of the risk factor. The seconstep prices the option, whiproperly accounts for nonlinearity. a和矛盾吗，正太分布的区别

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