推 overstarpjm:感激不盡!!! 04/16 21:00
推 unever:非常中墾! 應該兩個男的再一起,兩個女的去出家! 04/16 21:31
→ astro54088:樓上考完試後快寫傅立葉 ! 感激不盡!! 04/16 21:37
推 anitapink:溫瑞煩活該!! 04/16 22:08
推 kane2000:有下有推 Thx 04/17 20:59
本週忙哉
所以現在才開始寫扣得
第一題Demo如下
==============================
randn('state',100)
S = 1; mu = 0.05; sigma = 0.1; L = 1e4; T = 1; dt = T/L; M = 1;
tvals = [0:dt:T];
Svals = S*cumprod(exp((mu-0.5*sigma^2)*dt + sigma*sqrt(dt)*randn(M,L)),2);
Svals = [S*ones(M,1) Svals]; % add initial asset price
for i=1:100
USvals1(i)=Svals(i*100);
tvals1(i)=tvals(i*100);
end
subplot(3,1,1);
plot(tvals1,USvals1)
set(gca,'xtick',[0,0.2,0.4,0.6,0.8,1])
grid on
for i=1:100
USvals2(i)=Svals(i*10);
tvals2(i)=tvals(i*10);
end
subplot(3,1,2);
plot(tvals2,USvals2)
set(gca,'xtick',[0.02,0.04,0.06,0.08,0.1])
grid on
for i=1:100
USvals3(i)=Svals(i*1);
tvals3(i)=tvals(i*1);
end
subplot(3,1,3);
plot(tvals3,USvals3)
set(gca,'xtick',[0.002,0.004,0.006,0.008,0.01])
grid on
====================
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