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