Azzera filtri
Azzera filtri

Recursion, stock simulation

1 visualizzazione (ultimi 30 giorni)
N/A
N/A il 18 Ago 2017
Risposto: Jacob Ward il 6 Set 2017
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 Commento
José-Luis
José-Luis il 18 Ago 2017
I would start by not using numbered variables and storing everything in an array.
After that, your problem becomes trivial.

Accedi per commentare.

Risposte (1)

Jacob Ward
Jacob Ward il 6 Set 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.

Tag

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by