how to simulate a markov chain?
2 visualizaciones (últimos 30 días)
Mostrar comentarios más antiguos
we have a geometric random walk for modeling the behavior of the price of a stock over time. state space is 1,02^j with j from -100 to 100. initial price is p(0) = 1. if p(t) = 1,02^100 then p(t+1) = 1,02^99. if p(t) = 1,02^-100, then p(t+1) = 1,02^-99 with probability 0,99, and the price remains unchanged with probability 0,01- our question is: how do we write a code to simulate the process?
0 comentarios
Respuestas (1)
Jonathan LeSage
el 16 de Oct. de 2013
From what I gather from you description, this question has already been answered:
0 comentarios
Ver también
Categorías
Más información sobre Stochastic Differential Equation (SDE) Models en Help Center y File Exchange.
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!