assetpaths1.m

来自「Numerical Methods In_Finance And Economi」· M 代码 · 共 12 行

function SPaths=AssetPaths1(S0,mu,sigma,T,NSteps,NRepl)
SPaths = zeros(NRepl, 1+NSteps);
SPaths(:,1) = S0;
dt = T/NSteps;
nudt = (mu-0.5*sigma^2)*dt;
sidt = sigma*sqrt(dt);
for i=1:NRepl
   for j=1:NSteps
      SPaths(i,j+1)=SPaths(i,j)*exp(nudt + sidt*randn);
   end
end