Simple simulation of stock price
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I am new with MATLAB. Could you help out with simulating X amount of what is inside the loop?
r = 0.02;
sigma = .2;
S_0 = 10;
dt = 1/4000;
wp = sqrt(dt);
S_1 = S_0*(1+r*dt+sigma*wp*normrnd(0,1));
for i = 1:1000
S_1 = S_1*(1+r*dt+sigma*wp*normrnd(0,1));
end
disp(S_1)
1 个评论
Image Analyst
2017-8-18
What do you mean by "X amount"? I don't see any variable X in the code either. And by "what is inside the loop" do you mean S_1? If X is some fraction, then X amount of S_1 is simply X*S_1.
回答(1 个)
Kuifeng
2017-8-18
In the loop, does this answer to your question?
for i = 1:1000
S_1(i+1) = S_1(i)*(1+r*dt+sigma*wp*normrnd(0,1));
end
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