Using when you need a series of price to do back-testing.
This function using normal return model to simulate price under price limit condition.
Price limit condition require that the return on price is limited.
Related report: Value at Risk.<researchgate.net>
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s0 |
The initial price or the price at the first day. |
L |
Lower limit of return. |
U |
Upper limit of return. |
mu |
Expected (or mean) of return. |
sigma |
Standard deviation (or volatility) of return. |
m |
Number of observations. |
An array of price.
viet-hung.vu@jvn.edu.vn
Hung Vu
Value at Risk.(reserchgate.net)
https://www.researchgate.net/profile/Vu_Hung4
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