5648数理金融中等数值题short
Monte Carlo Standard Error 3
题目
A Monte Carlo run has sample mean terminal payoff 14 and sample standard deviation 7.5 from n=900 paths. With rate 0.02 and maturity 1.5, what are the time-0 price estimate, its standard error, and the approximate 95% confidence interval?
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你的答案
price
se
ci_lower
ci_upper