Tagged Questions
5
votes
2answers
147 views
Simulation of GBM
I have a question regarding the simulation of a GBM. I have found similar questions here but nothing which takes reference to my specific problem:
Given a GBM of the form
$dS(t) = \mu S(t) dt + ...
3
votes
1answer
296 views
How to simulate a Merton Jump Diffusion process?
I am talking about the Merton Jump Diffusion model, on this page, where they give the following formula:
$$ dS_t = \mu S_t dt + \sigma S_t dW_t + (\eta-1) dq$$
where $W_t$ is a standard brownian ...
4
votes
1answer
1k views
How to simulate stock prices with a Geometric Brownian Motion?
I want to simulate stock price paths with different stochastic processes. I started with the famous geometric brownian motion. I simulated the values with the following formula:
...
8
votes
3answers
377 views
How to test for and how to simulate price rise/fall asymmetry in the stock market
One of the stylized facts of financial time series seems to be a fundamental asymmetry between smooth upward movements over longer periods of time followed by abrupt declines over relatively shorter ...
