New answers tagged random
0
Here's how I would approach this problem:
vol = 1; t = 1; n = 20; S0 = 1; r = 1;
f[x_, a_] = x*Exp[(r - (vol^2/2.0))*t/n + vol*a*Sqrt[t/n]];
randN = RandomVariate[NormalDistribution[0, 1], {n}];
out = FoldList[f, S0, randN];
ListLinePlot[out]
(with constants defined arbitrarily). I have replaced RecurrenceTable with FoldList and I think this gives you ...
6
With the help of comments on this and other stackexchange pages I managed to solve the problem of how to use custom distributions in things like CopulaDistribution (and other functions like RandomVariate, Expectation, etc), and given that it took me a couple of days’ hard slog I thought I’d share my discoveries with this community. Please excuse the flippant ...
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