checkbridge.m

Numerical Methods In_Finance And Economics Matlab Source Code

% CheckBridge.m
randn('state',0);
NRepl = 100000;
T = 1;
NSteps = 4;
WSamples = zeros(NRepl, 1+NSteps);
for i=1:NRepl
    WSamples(i,:) = WienerBridge(T, NSteps);
end
m = mean(WSamples(:,2:(1+NSteps)))
sdev = sqrt(var(WSamples(:,2:(1+NSteps)))) 
sqrt((1:NSteps).*T/NSteps)