Monte-Carlo Price Simulation (under price limit condition)

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Description

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>

Usage

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jMCPriLim(s0, L, U, mu, sigma,m)

Arguments

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.

Value

An array of price.

Note

viet-hung.vu@jvn.edu.vn

Author(s)

Hung Vu

References

Value at Risk.(reserchgate.net)

See Also

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

Examples

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s0 <- 100
mu <- 0.02
sigma <- 0.1
m <- 1000
L <- -0.07
U <- 0.07
jMCPriLim (s0, L, U, mu, sigma, m)