jMCPri {jvnVaR}

Monte-Carlo Price Simulation

Description

Using when you need a series of price to do back-testing.

This function using normal return model to simulate price.

Related report: Value at Risk.<researchgate.net>

Usage

jMCPri(s0, mu, sigma, m)

Arguments

s0

The initial price or the price at the first day.

mu

Expected (or drift) of return.

sigma

Standard deviation (or volatility) of return.

m

Number of observations.

Value

An array of price.

Note

[e-mail]

Author(s)

Hung Vu

References

Value at Risk.(reserchgate.net)

See Also

https://www.researchgate.net/profile/Vu_Hung4

Examples

s0 <- 100
mu <- 0.02
sigma <- 0.1
m <- 1000
jMCPri (s0, mu, sigma, m)