FRM一级题目：风险管理定量

发表时间： 2015/10/09

In pricing a derivative using the Monte Carlo method, we need to stimulate a reasonable number of paths for the price of the underlying asset. Suppose we use a simple model for the return of the underlying asset:

Where drift and vol are known parameters and ?t is a step size. The generation of each path requires a number of steps. Which of the following describes the correct procedure?在线索取2015年11月FRM考纲解析》》

A.Generate a random number from a normal distribution, use the cumulative normal function to get, which will be fed into the model to get. Repeat the same procedure until you get the full desired path.

B.Generate a random number from a normal distribution, use the inverse normal function to get, which will be fed into the model to get. Repeat the same procedure until you get the full desired path.

C.Generate a random number from a uniform distribution defined in, use the inverse cumulative normal function to get, which will be fed into the model to get. Repeat the same procedure until you get the full desired path.

D.Generate a random number from a uniform distribution defined in , use the cumulative normal function to get , which will be fed into the model to get Repeat the same procedure until you get the full desired path.

Answer: C

One of the methods used in creating random numbers is the inverse transform method. We first produce a random variable x from a uniform distribution over the interval. The next step is to transform the uniform random number x into the desired distribution through the inverse cumulative probability distribution function.

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