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Thread: Geometrci random walk

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    Geometrci random walk




    Hi!

    I need help! l

    I need simulate process - geometric random walk for modeling the behavior of the price of a stock over time. state space is 1,02^j with j from -100 to 100. initial price is p(0) = 1. if p(t) = 1,02^100 then p(t+1) = 1,02^99. if p(t) = 1,02^-100, then p(t+1) = 1,02^-99 with probability 0,99, and the price remains unchanged with probability 0,01- our question is: how do we write a code to simulate the process?

    If somebody have some idea I will be really happy!

  2. #2
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    Re: Geometrci random walk


    You have described the algorithm in details. The remaining issue is how to implement this algorithm/psuedo code to different programming languages.

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