How to implement a Correlated Brownian Motion correctly
8 visualizaciones (últimos 30 días)
Mostrar comentarios más antiguos
I have trouble implementing a Correlated Brownian Motion. I need the simulation for 1000 paths and T=5. Only the values of the evolution for t=1 and T=5 are relevant. The following code is running, but does not return the expected values. Does anybody know what I did wrong? Thankful for any advice or hint!
X1=100;
X2=90;
r=0.03;
sigma1=0.25;
sigma2=0.25;
rho=0.5;
T=5;
sigma=[sigma1 0;0 sigma2];
corr=[1 rho;rho 1];
cov=sigma*corr*sigma;
R=chol(cov,'lower');
N=1000;
X1_t=zeros(N,T+1);
X1_t(:,1)=A_0;
X2_t=zeros(N,T+1);
X2_t(:,1)=L_0;
dt=1;
for i=1:N
X=randn(T,2);
W=X*R;
for j=2:T+1
X1_t(i,j)=X1_t(i,j-1)*exp(r*dt+sigma1.*W(j-1,1)-(sigma1.^2./2)*dt);
X2_t(i,j)=X2_t(i,j-1)*exp(r*dt+sigma2.*W(j-1,2)-(sigma2.^2./2)*dt);
end
end
2 comentarios
Walter Roberson
el 29 de Abr. de 2018
Editada: Walter Roberson
el 29 de Abr. de 2018
Do not close questions that have an answer. The answer may be of use to other people.
Respuestas (1)
jean claude
el 12 de Dic. de 2017
here is a clear demonstration http://www.goddardconsulting.ca/matlab-monte-carlo-assetpaths-corr.html
Ver también
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!