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Luhunlu · 2022年02月11日

老师，请问我这么理解AB对吗？

  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.

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？

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已采纳答案

李坏_品职助教 · 2022年02月13日

嗨，爱思考的PZer你好：


B选项说的是：蒙特卡洛模拟只能包含线性投资组合（也就是股票这种），不能拿来计算期权价格。这是错误的，蒙特卡洛也是可以用股票模拟出来的价格走势，进而去计算option price的。


几何布朗运动是一种随机过程，如果随机过程 St在满足以下随机微分方程 的情况下被认为遵循几何布朗运动：

dSt = μSt * dt + σSt * dWt，符合这种性质的随机过程叫做布朗运动。如果单看某个t时刻的股票价格S，那么S服从于对数正态分布，不是“任何分布”。



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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Luhunlu · 2022年02月18日

感谢老师解答！

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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

2022-11-18 15:52 1 · 回答

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2022-01-23 03:36 1 · 回答

NO.PZ2016062402000034 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. 请问老师，B是错的可以选出，但是么理解呢？

2021-11-01 16:12 1 · 回答

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. 能翻译一下，为什么正确的呢

2020-03-13 22:29 1 · 回答