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.
1)A正确是因为蒙特卡洛模拟基于假设,所以input可以是任何分布,自然lognormal distribution也可以;
2)B不正确是因为模拟出的路径可以是任何形态的;
3)那老师,请问几何布朗运动的那个公式是不是也可以服从任何分布啊?