hw_6-2 demo
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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:
======================================
我想是這樣吧
要算mean就自己用mean(SSR1)等等來算
忘了告訴大家 上面是錯的
我複製貼上貼錯了
又懶得重發文和delete
正確的如下
有發現問題拜託跟我說
這只是demo 可以跑出結果 想要更美觀就自己加料了
======================
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
for i=1:99
SSR1(1)=0;
SSR1(i+1)=cumsum(((USvals1(i+1)-USvals1(i))/USvals1(i+1)^2),2);
end
subplot(3,1,1);
plot(tvals1,SSR1)
set(gca,'xtick',[0.2,0.4,0.6,0.8,1])
for i=1:100
USvals2(i)=Svals(i*10);
tvals2(i)=tvals(i*10);
end
for i=1:99
SSR2(1)=0;
SSR2(i+1)=cumsum(((USvals2(i+1)-USvals2(i))/USvals2(i+1)^2),2);
end
subplot(3,1,2);
plot(tvals2,SSR2)
set(gca,'xtick',[0.02,0.04,0.06,0.08,0.1])
for i=1:100
USvals3(i)=Svals(i*1);
tvals3(i)=tvals(i*1);
end
for i=1:99
SSR3(1)=0;
SSR3(i+1)=cumsum(((USvals3(i+1)-USvals3(i))/USvals3(i+1)^2),2);
end
subplot(3,1,3);
plot(tvals3,SSR3)
set(gca,'xtick',[0.002,0.004,0.006,0.008,0.01])
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