Ch.7 Sim. Methods for VaR for Options and Bonds. Flashcards
1
Q
What is one limitation of Random number generators used in MC simulations?
A
They aren’t actually random and can only generate pseudo-random numbers up to a sequence.
2
Q
What is the main flaw of Linear Congruential Generators?
A
Serial correlations between the generated numbers.
3
Q
A
