Home > Finance > Monte carlo simulation: Brownian motion

Monte carlo simulation: Brownian motion


This is a classic building block for Monte Carlos simulation: Brownian motion to model a stock price. The periodic return (note the return is expressed in continuous compounding) is a function of two components: 1. constant drift, and 2. random shock; ie, volatility multiplied by a randomized critical z value

10 Comments For This Post

  1. gitgitgitgitgit Says:
    May 17th, 2010 at 1:22 pm

    Hi, did you find an answer? I’m also interested.

  2. brunetto345 Says:
    May 17th, 2010 at 1:34 pm

    bravissimo, complimenti

  3. Volver1234 Says:
    May 17th, 2010 at 2:10 pm

    If it be NERD, I proudly am :D

  4. SPW1981 Says:
    May 17th, 2010 at 2:16 pm

    Thanks for all your videos. They are really helpful. You explain very well.

  5. quacka101 Says:
    May 17th, 2010 at 3:03 pm

    this be for nerds and geeks me thinks.

  6. bionicturtledotcom Says:
    May 17th, 2010 at 3:09 pm

    yes, thank you for noting that, I did mistakenly change the 252 to 25. I appreciate your help on that point. David

  7. ajnaqvi86 Says:
    May 17th, 2010 at 3:27 pm

    What would be the modification of the methodology in this simulation if you would look at a simple portfolio of stocks instead of a singular asset?

  8. Riverdale270 Says:
    May 17th, 2010 at 3:31 pm

    this really comes in handy for my masterthesis, thanks a bunch!

  9. slipknotpsychoman Says:
    May 17th, 2010 at 3:36 pm

    you deleted the end 2 of the 252 drift daily on accident

  10. sudeepdoon Says:
    May 17th, 2010 at 4:06 pm

    All the videos from the user are very good and are very helpful..
    :)

Leave a Reply

CAPTCHA Image
*