Structured Mote Carlo

Hi David,
Cud you brief on this one.

Which of the following statements regarding the structured Monte Carlo approach is CORRECT?
I.The general equation assumes the underlying asset has normally distributed returns with a mean of μ and a standard deviation of σ.
II.The security market line (SMC) approach can address multiple assets with multiple risk exposures by generating correlated scenarios based on a statistical distribution.
III.In some cases where it does not produce an accurate forecast of future volatility, increasing the number of simulations can improve the forecast.
A)I and II.
B)I and III.
C)II and III.
D)I, II and III.


Thanks
Rahul
 
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