Simulating stock price paths in matlab using monte carlo

7 次查看（过去 30 天）
A Basu
A Basu 2017-11-27
I am trying to simulate stock price paths and I am using the following code where my initial stock price S0 = 5.However I need to have price paths which extend up to 60 or 70. The following code only provides me price paths upto S = 10. Is there a method to generate price paths starting from 5 to a limit (60 or 70)?
S = ones(M, N+1); #S0 = 5
R = exp((r - sigma^2/2)*dt+sigma*sqrt(dt)*randn(N,M));
SS = cumprod([S0*ones(1,M); R]);
S = SS';

请先登录，再回答此问题。

回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Price and Analyze Financial Instruments 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by