 Mathematics of Finance - Monte Carlo

Subject Mathematics MATLAB for Mathematics

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% 1. Generate 100 (ideally 10,000 or more) 3 month long price paths for a stock with initial price \$50, expected annual
% return r = 10% (=0.1) and annual volatility = 30%. Assume that there are 21 trading days in a month.

% Clearing memory and screen
clear;
clc;

s=50;          %Stock's price now
mu=0.1;         %Annual return rate
dt=1/252;       %Time increment in years
sigma=0.3;      %Annual volatility (risk)

C=[]; %The matrix in which each row will hold a price path

%We are creating 20000 3 month long price paths
for q=1:20000
M=[];...

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