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Student Support Forum: 'Manipulate Stochastic Process' topicStudent Support Forum > General > Archives > "Manipulate Stochastic Process"

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Author Comment/Response
Milan
05/01/13 03:23am

In Response To 'Re: Manipulate Stochastic Process'
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Hi Bill...thank you a lot.

Initialy i got the following stochastic process by keeping all parameters constant:

(*Parameters of process*)
dt = 1/52;
\[Mu] = 2/100;
\[Sigma] = 10/100;

(*parameters of run*)
y = 100;(*time span in years*)n = 52*y;(*time steps*)
s[0] = 100;(*initial share price*)t = 0;(*time*)(*calculate time \
development and store in list p*)p =
Table[{t = t + dt,
s[k] = s[k - 1] +
dt*\[Mu]*s[k - 1] + \[Sigma]*s[k - 1]*Sqrt[dt]*
Random[NormalDistribution[0, 1]]}, {k, 1, n}];

ListPlot[p]


In the next step I want to try to manipulate at least one parameter such as the drift or the volatility in oder to see how the process changes as a result of changed parameters. In order to achieve this i tried the following, which didn't worked out.:

(*Parameters of Run*)
y = 10; (*Time Span in Years*)
n = 52*y ;(*Time Steps*)
s[0] = 100; (*Initial Share Price*)
t = 0;(*Time*)

Manipulate[
Plot[{t = t + dt,
s[k] = s[k - 1] +
dt*\[Mu]*s[k - 1] + \[Sigma]*s[k - 1]*Sqrt[dt]*
Random[NormalDistribution[0, 1]]}, {k, 1, n},
PlotRange -> Automatic], {dt, 1/52, 1/252,
Appearance -> "Labeled"}, {\[Mu], 0, 1,
Appearance -> "Labeled"}, {\[Sigma], 0, 1, Appearance -> "Labeled"}]


And in the third step I would like to add more such processes within a function. Like having 5 of them simultaneously within the same chart.

I would be really thankful if you cold help me out.

Thanks in advance and best regards from Austria

Milan

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Subject (listing for 'Manipulate Stochastic Process')
Author Date Posted
Manipulate Stochastic Process Milan 04/30/13 04:15am
Re: Manipulate Stochastic Process Bill Simpson 04/30/13 11:46am
Re: Re: Manipulate Stochastic Process Milan 05/01/13 03:23am
Re: Re: Re: Manipulate Stochastic Process Bill Simpson 05/01/13 6:53pm
Re: Re: Re: Re: Manipulate Stochastic Process Milan 05/02/13 03:21am
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