Dear all,
I wrote this code to simulate stock price scenarios by using Geometric Brownian Motion for each business day in one year.
S_0=55.8; % initial price
drift= (mu_oil-sigma_daily_oil^2/2); % drift
npaths= 3000 ; % number of simulations
nsteps=252; dt=1/252; % time sequence (ti-ti+1)
epsilon=randn(nsteps,npaths); Weiner= [zeros(1,npaths); cumsum(epsilon).*sqrt(dt)] ;S_t= bsxfun(@plus, drift*dt, sigma_daily_oil*Weiner);S_t=S_0*exp(S_t) ;
I would like to compute stock price scenarios only for grid points 1Y 2Y 3Y 4Y 5Y . Is correct to consider dt=1 and nsteps=5? Does anyone can help me , please?
Thank you
Martina
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