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brownian bridge demo

once you see how this works you


simulation vol 16.0% for 16 days will be able to change it to
initial value 100 accommodate different amonts
final value 90 of missing data
number of days 19
drift needed (mu) -0.526316 per day

driftless drifting
raw raw brownian brownian
randoms return brownian bridge bridge
0 100 100 100
1 0.2176118795 -0.007803 99.21972 99.0809 98.55457
2 0.6831730148 0.004766 99.69259 99.4149 98.3623
3 0.3907782726 -0.002773 99.41615 98.9997 97.42071
4 0.6322293791 0.003378 99.75194 99.1966 97.09136
5 0.1110847612 -0.012208 98.53419 97.8400 95.20846
6 0.6794729532 0.004662 98.99358 98.1606 95.00271
7 0.7888182646 0.008023 99.78783 98.8160 95.13182
8 0.9322563138 0.014928 101.2775 100.1668 95.95631
9 0.7745407542 0.007539 102.041 100.7915 96.05468
10 0.8312745271 0.009592 103.0198 101.6315 96.36833
11 0.6790075039 0.004649 103.4987 101.9716 96.18215
12 0.0729473454 -0.014542 101.9937 100.3277 94.01194
13 0.3180336517 -0.004732 101.511 99.7063 92.86416
14 0.5128317934 0.000322 101.5437 99.6001 92.23167
15 0.0806831494 -0.014005 100.1216 98.0392 90.14441
16 0.8086872163 0.008731 100.9957 98.7745 90.3534
17 0.3495664359 -0.003865 100.6054 98.2453 89.29791
18 0.2435493189 -0.006949 99.90624 97.4073 87.93363
19 0.9968722331 0.027341 102.6378 100 90
http://www.wilmott.com/messageview.cfm?catid=34&threadid=24921
e you see how this works you
be able to change it to
ommodate different amonts
issing data

Brownian br

Asset price 105

100

95

90

85

80
0 1 2 3 4 5 6 7 8 9 1

Column D driftless b
atid=34&threadid=24921

Brownian bridge

6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
dt
Column D driftless brownian drifting brownian
19 20