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    Ciaran Darcy
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    This document contains a code to generate a random walk of stock prices over multiple time steps and trials. It sets up initial parameters like the starting price, growth rate, volatility, number of time steps and trials. It then runs a for loop to calculate the stock price at each time step based on the previous price, growth rate, volatility and a random Wiener increment. The stock prices over time are plotted for each trial.

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    This document contains a code to generate a random walk of stock prices over multiple time steps and trials. It sets up initial parameters like the starting price, growth rate, volatility, number of time steps and trials. It then runs a for loop to calculate the stock price at each time step based on the previous price, growth rate, volatility and a random Wiener increment. The stock prices over time are plotted for each trial.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
    3 views1 page

    Appendix 1

    Uploaded by

    Ciaran Darcy
    This document contains a code to generate a random walk of stock prices over multiple time steps and trials. It sets up initial parameters like the starting price, growth rate, volatility, number of time steps and trials. It then runs a for loop to calculate the stock price at each time step based on the previous price, growth rate, volatility and a random Wiener increment. The stock prices over time are plotted for each trial.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
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    Appendix 1 : Code to Generate Random walk of stock price

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    with Statistics : with plots : S0 d 100 : k d 120 : r d 0.05 : td1: vol d 0.1 : steps d 1000 : trials d 5 : S d Vector steps : tt d Vector steps : t : dt d steps for j from 1 to trials do for i from 1 to steps do x d Sample RandomVariable Normal 0, 1 , 1 1 : # random var from std normal dW d evalf sqrt dt $x : # Wiener increment if i = 1 then Sm1 d S0 else Sm1 d S i K1 end if: S i d Sm1$ 1 C r$dt C vol$dW : tt i d i$dt : #print S i ; end do: plot tt, S ; end do; Thank s to Stephen O'Sullivan

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