assetpaths1.m

Matlab codes for financial models

% AssetPaths1.m
function SPaths=AssetPaths1(S0,mu,sigma,T,NSteps,NRepl)
dt = T/NSteps;
nudt = (mu-0.5*sigma^2)*dt;
sidt = sigma*sqrt(dt);
Increments = nudt + sidt*randn(NRepl, NSteps);
LogPaths = cumsum([log(S0)*ones(NRepl,1) , Increments] , 2);
SPaths = exp(LogPaths);