1
$\begingroup$

I am trying to simulate an asset path based on a t-distribution. I found a lot of ressources and the fact that it will be difficult to do a path. But now I changed my Geometric Brownian Motion Simulation and instead of using normal random numbers, I take random student-t numbers using the Matlab-command trnd. So I get a new path and the increments are student-t distributed. Now I don't know if this is a totally wrong approach, since I am more or less a beginner in quantitative finance.

Thank you for your help Kind regards

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.