New answers tagged


The code below is part of a VBA project I did to calculate VaR with Monte Carlo returns. If you eliminate the -1 at the end all values are positive. You just need to add your own risk free and standard deviation. Excel RAND() is same as VBA RND(). For i = 1 To 10000 stockReturn(i) = Exp((RiskFree - 0.5 * StDv ^ 2) + StDv * Application.NormInv(Rnd()...


You need for Returns = normsinv(rand()) * Sigma + Mu for each period. Then Price = e(Price-1 + Return) for the Monte Carlo price enjoy ;-)

Top 50 recent answers are included