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Interview Question

Financial Engineering Internship Interview(Student Candidate) San Francisco, CA

How many simulations would it take to get an accuracy of

  less than or equal to 1%
Answer

Interview Answer

2 Answers

0

Use the 1/sqrt(N)

Interview Candidate on Feb 25, 2012
1

Does it not depend on the variance of the Monte Carlo estimates. The standard error does scale with 1/sqrt(n) but also depends on the variance of the algorithm simulations. The number of simulations can be lowered using variance reduction techniques such as antithetic, control variante, etc.

Ben on Jul 16, 2013

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