Recursion, stock simulation
1 view (last 30 days)
Show older comments
I am new to Matlab, could you help me out with automating this process:
S_1 = S_0*(1+r*dt+sigma*a*normrnd(0,1))
S_2 = S_1*(1+r*dt+sigma*a*normrnd(0,1))
S_3 = S_2*(1+r*dt+sigma*a*normrnd(0,1)) ... ... ...
Thanks
1 Comment
José-Luis
on 18 Aug 2017
I would start by not using numbered variables and storing everything in an array.
After that, your problem becomes trivial.
Answers (1)
Jacob Ward
on 6 Sep 2017
Instead of giving each variable a name with a different number, store all of these things in one array. So instead of S_0, S_1, S_2, and S_3, use one variable S that has 4 different elements which you can access like this: S(1),S(2),S(3), and S(4).
If you define your variables in this way, this problem becomes easy:
S(1) = constant;
for i = 2:n
S(i) = S(i-1)*(1+r*dt+sigma*a*normrnd(0,1))
end
Simply replace n with how many times you would like to perform the iteration and you are good to go.
0 Comments
See Also
Categories
Find more on MATLAB Report Generator in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!