1.2. In MATLAB/SCILAB write a script to use randn and cumsum to generate, say, five realizations of...
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1.2. In MATLAB/SCILAB write a script to use randn and cumsum to generate, say, five realizations of aWiener process—approximate it by taking n = 1000 time steps over 0 < t ≤ 1 . Plot the realizations. Introduce a drift μ and volatility σ and plot realizations of the resultant process; for example, investigate μ ∈ {0,±1,±3} and
σ ∈ {1/3,1,3} .
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Related Book For
Elementary Calculus Of Financial Mathematics
ISBN: 978-0898716672
1st Edition
Authors: A. J. Roberts Edition
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