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标题: Reading 9: Common Probability Distributions - LOS l ～ Q4-6 [打印本页]

作者: mayanfang1 时间: 2009-1-9 10:46 标题: [2009] Session 3- Reading 9: Common Probability Distributions - LOS l ～ Q4-6

Q4. In which of the following cases would Monte Carlo simulation least likely be needed? Payoff of a:

A) GNME.

B) European option.

C) roulette wheel.

Q5. Many analysts prefer to use Monte Carlo simulation rather than historical simulation because:

A) past distributions cannot address changes in correlations or events that have not happened before.

B) computers can manipulate theoretical data much more quickly than historical data.

C) it is much easier to generate the required variables.

Q6. The difference between a Monte Carlo simulation and a historical simulation is that a historical simulation uses randomly selected variables from past distributions, while a Monte Carlo simulation:

A) uses a computer to generate random variables.

B) projects variables based on a priori principles.

C) uses randomly selected variables from future distributions.

作者: mayanfang1 时间: 2009-1-9 10:47

答案和详解如下：

Q4. In which of the following cases would Monte Carlo simulation least likely be needed? Payoff of a:

A) GNME.

B) European option.

C) roulette wheel.

Correct answer is C)

The probability distribution of a roulette wheel would be easy to estimate using empirical or a priori methodology.

Q5. Many analysts prefer to use Monte Carlo simulation rather than historical simulation because:

A) past distributions cannot address changes in correlations or events that have not happened before.

B) computers can manipulate theoretical data much more quickly than historical data.

C) it is much easier to generate the required variables.

Correct answer is A)

While the past is often a good predictor of the future, simulations based on past distributions are limited to reflecting changes and events that actually occurred. Monte Carlo simulation can be used to model based on parameters that are not limited to past experience.

A) uses a computer to generate random variables.

B) projects variables based on a priori principles.

C) uses randomly selected variables from future distributions.

Correct answer is A)

A Monte Carlo simulation uses a computer to generate random variables from specified distributions.

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