[S] Simulation

Fouad Abbassi (fabbassi@yahoo.com)
Fri, 23 Oct 1998 17:07:04 -0700 (PDT)


Could anybody help to build a function for the following:

I want to simulate a Stock movement. Assume that the beginning time is
t=0, theending time is t=100, and each step time is Delta(t)=0.1.
Assume that S(0)=50, Mean= 10%, and Std=40%. I want to simulate the
sequences S(0.1),S(0.2),..., S(100) by the following way:

S(t+dt)=S(t) exp(Mean*dt + std*sqrt(dt)) with p=0.5
S(t+dt)=S(t) exp(Mean*dt - std*sqrt(dt)) with p=0.5

Then we want to plot the sequence as a time series.

Thank you in advance.

Fouad Abbassi

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