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


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.