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wuzx · 2022年04月24日

d选项是错的吗?

NO.PZ2019040801000071

问题如下:

Monte Carlo simulation is flexible and allow financial engineering to price complex financial instruments, Which of the following statements is not a disadvantage of the Monte Carlo technique when solving problems ?

选项:

A.

High computational costs arise with complex markets and issues.

B.

Results of most Monte Carlo experiments are difficult to replicate.

C.

Simulation results are experiment-specific because financial problems are analyzed based on a specific data generating process and set of equations.

D.

Since Monte Carlo simulations always draw random variables from a normally distributed population, they are not accurate when the input variables have fat tails.

解释:

D is correct

考点:Monte Carlo缺点

解析:蒙特卡洛模拟的输入变量或者参数不一定非要服从正态分布,可以根据实际情况进行调整,分布来满足试验的需求。其缺点主要在于使用分布和实际分布不一致会导致试验结果的偏差。

d选项是因为蒙特卡洛不要求正态分布,所以fat tail时也可以精确。所以错了,因此不属于缺点,是这么理解么?有点绕蒙了

1 个答案

李坏_品职助教 · 2022年04月24日

嗨,从没放弃的小努力你好:


对的,题干问的是下列哪一项不属于蒙特卡洛的缺点


D说的是蒙特卡洛是从正态分布的变量中抽取随机数,如果有肥尾的话就不准确。D的说法是错误的,因为蒙特卡洛模拟不一定非要服从正态分布,任何分布都可以进行模拟。所以本题选择D选项。

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