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university of central arkansas Operations And Supply Chain Management Assignment Help - The historical


Question - Which of the following statement about simulation is invalid? a. The historical simulation approach is a nonparametic method that makes no specific assumption about the distribution of asset returns. b. W hen simulating asset returns using Monto Carlo simulation, a sufficient number of trails must be used to ensure simulated returns are risk neutral. c. Bootstrapping is an effective simulation approach that naturally incorporates correlations between asset returns and non-normality of asset returns, but does not generally capture autocorrelation of asset returns. d. Monte Carlo simulation can be a valuable method for pricing derivatives and examining asset return scenarios.

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