Deduce a monte carlo approximation

Reference no: EM131357836

If we are interested in the tail probability Pr(X > 20) when X ∼ N (0, 1), simulating from a N (0, 1) distribution does not work. Express the probability as an integral and use an obvious change of variable to rewrite this integral as an expectation under a U(0, 1/20) distribution. Deduce a Monte Carlo approximation to Pr(X > 20) along with an error assessment.

Reference no: EM131357836

Questions Cloud

Describe why physical database design is necessary : What is physical database design? Describe why physical database design is necessary. Explain why the need to perform joins is an important factor affecting application and database performance.

What is the firm required rate of return : Cool Company's stock has a beta of 1.40, the risk-free rate is 4.25%, and the market risk premium (rM – rRF) is 5.50%. What is the firm's required rate of return?

Reducing federal government discretionary powers : Reducing federal government's discretionary powers Tax incentives for saving Evaluate both the advocates' position and the critics' position.

What is the required rate of return on bs stock : Stock A's stock has a beta of 1.30, and its required return is 12.00%. Stock B's beta is 0.80. If the risk-free rate is 3.50%, what is the required rate of return on B's stock?

Deduce a monte carlo approximation : Express the probability as an integral and use an obvious change of variable to rewrite this integral as an expectation under a U(0, 1/20) distribution. Deduce a Monte Carlo approximation to Pr(X > 20) along with an error assessment.

Vast amount of natural resources : When you travel to South America, you encounter countries that have a vast amount of natural resources, and very large labor forces. However, despite an abundance of these resources, you also see a lot of poverty.

Required reserve rate is ten percent : Assume that the required reserve rate is ten percent, banks want to hold excess reserves in an amount that equals three percent of deposits, and the public withdraws ten percent of every deposit in cash. An open market purchase of $1 million by th..

What is the difference between a clause and a phrase : What is the difference between a clause and a phrase?- How can you tell the difference between a compound sentence and a complex sentence?

Assess the successes-failures of trumans containment policy : Assess the successes and failures of Truman's Containment policy. Do you think that the U.S. should have responded differently to Soviet expansion? If so, how? If not, why?

User Account

All Pages