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Monte carlo simulation: Brownian motion

Posted by admin in Finance Friday, 14 May 2010 16:18 18 Comments

This is a classic building block for Monte Carlos simulation: Brownian motion to model a stock price. The periodic return (note the return is expressed in continuous compounding) is a function of two components: 1. constant drift, and 2. random shock; ie, volatility multiplied by a randomized critical z value

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This entry was posted on Friday, May 14th, 2010 at 16:18 and is filed under Finance. You can follow any responses to this entry through the RSS 2.0 feed. Both comments and pings are currently closed.

18 Comments

  1. 05/14/2010 17:04
    posted by gitgitgitgitgit

    Hi, did you find an answer? I’m also interested.

  2. 05/14/2010 17:22
    posted by brunetto345

    bravissimo, complimenti

  3. 05/14/2010 18:21
    posted by Volver1234

    If it be NERD, I proudly am :D

  4. 05/14/2010 18:45
    posted by SPW1981

    Thanks for all your videos. They are really helpful. You explain very well.

  5. 05/14/2010 19:07
    posted by quacka101

    this be for nerds and geeks me thinks.

  6. 05/14/2010 19:29
    posted by bionicturtledotcom

    yes, thank you for noting that, I did mistakenly change the 252 to 25. I appreciate your help on that point. David

  7. 05/14/2010 20:12
    posted by ajnaqvi86

    What would be the modification of the methodology in this simulation if you would look at a simple portfolio of stocks instead of a singular asset?

  8. 05/14/2010 21:12
    posted by Riverdale270

    this really comes in handy for my masterthesis, thanks a bunch!

  9. 05/14/2010 21:13
    posted by slipknotpsychoman

    you deleted the end 2 of the 252 drift daily on accident

  10. 05/14/2010 21:28
    posted by sudeepdoon

    All the videos from the user are very good and are very helpful..
    :)

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