| Library: | finance |
| See also: | stockest stockestsim |
| Quantlet: | stocksim | |
| Description: | simulates random processes for a stock price by three different ways: 1. using a Wiener Process, 2. using a compounded Poisson Jump Process with a log normal distribution of jump height and 3. using a mixture of both. |
| Usage: | stocksim() or stocksim(S,sigma,tau,rate,shocks,jumps,jumpvola) | |
| Input: | ||
| S | scalar, starting value of the underlying asset | |
| sigma | scalar, volatility (0%-100%) | |
| tau | scalar, days to expiration | |
| rate | scalar, increasing rate of return | |
| shocks | scalar, shocks per day | |
| jumps | scalar, expected number of jumps | |
| jumpvola | scalar, volatility for the height of the jump (0%-100%) | |
library("finance")
stocksim()
Invokes an interactive menu where you are asked to specify the stock features. A display with three random processes will be shown. The diffusion process is depicted as a black line, the jump process as a green one and the mixed process as a blue line.
library("finance")
S = 200
sigma = 10.0
tau = 200
rate = 5.0
shocks = 2
jumps = 20
jumpvola = 0.5
stocksim(S,sigma,tau,rate,shocks,jumps,jumpvola)
A display showing the three random processes. The diffusion process is depicted as a black line, the jump process as a green one and the mixed process as a blue line.