题目
Monte Carlo simulation is not suitable for pricing options in which of the following cases?
选项
A.An Asian option on a stock market index (payoff based on average stock price).
B.A lookback put option on XYZ stock (payoff based on maximum or minimum stock price).
C.An American call option on ABC stock (possible early exercise).
D.A cash-or-nothing call option (i.e., binary option) on SCU stock (payoff is fixed amount or nothing).
答案
C
解析
Monte Carlo simulation is suitable for pricing options in each case except when early exercise of the option is possible. This means that the Monte Carlo approach could not accurately price the American call option. Monte Carlo simulation is very useful for options with price-dependent paths (such as Asian options and lookback options) and can also handle options with complex payoff, such as binary options.蒙特卡罗模拟适用于每种情况下的定价期权，除非可以尽早行使期权。 这意味着蒙特卡洛方法无法准确定价美国看涨期权的价格。 蒙特卡罗模拟对于具有价格依赖路径的期权（例如亚洲期权和回溯期权）非常有用，并且还可以处理具有复杂收益的期权，例如二元期权。