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blahblah8724
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Does anyone know how to use MATLAB to produce this graph??
I'm writing a mathematical essay on Option Pricing and would like to include a graph which displays a process called a Wiener Process.
This is basically a process where the change [itex] \Delta z [/itex] in a time interval [itex] \Delta t [/itex] is modeled by
[itex] \Delta z = \epsilon\sqrt{\Delta t} [/itex]
where [itex] \epsilon [/itex] is a normal random variable with mean 1 and variance 0.
So for each [itex] \Delta t [/itex], [itex] \epsilon [/itex] computes one normal random variable. And the true graph is obtained when [itex] \Delta t \to 0 [/itex]. The graph should look something like this
Does anyone know what the MATLAB sequence would be to compute this??
I would really appreciate any help!
Thank :)
I'm writing a mathematical essay on Option Pricing and would like to include a graph which displays a process called a Wiener Process.
This is basically a process where the change [itex] \Delta z [/itex] in a time interval [itex] \Delta t [/itex] is modeled by
[itex] \Delta z = \epsilon\sqrt{\Delta t} [/itex]
where [itex] \epsilon [/itex] is a normal random variable with mean 1 and variance 0.
So for each [itex] \Delta t [/itex], [itex] \epsilon [/itex] computes one normal random variable. And the true graph is obtained when [itex] \Delta t \to 0 [/itex]. The graph should look something like this
Does anyone know what the MATLAB sequence would be to compute this??
I would really appreciate any help!
Thank :)