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  • Movimiento Browniano Aritmético

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    Carlos Deck
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    The document simulates arithmetic Brownian motion over 50 intervals of 1.2 minutes each to generate random asset values. It starts with an initial value of 10, calculates values using a mean of 20 and standard deviation of 5, and charts the results over the 1 hour period.

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    The document simulates arithmetic Brownian motion over 50 intervals of 1.2 minutes each to generate random asset values. It starts with an initial value of 10, calculates values using a mean of 20 and standard deviation of 5, and charts the results over the 1 hour period.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
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    Download as xlsx, pdf, or txt
    142 views14 pages

    Movimiento Browniano Aritmético

    Uploaded by

    Carlos Deck
    The document simulates arithmetic Brownian motion over 50 intervals of 1.2 minutes each to generate random asset values. It starts with an initial value of 10, calculates values using a mean of 20 and standard deviation of 5, and charts the results over the 1 hour period.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 14

    Convergencia a Browniano Artimético con 50 intervalos

    40

    35

    30

    25

    Axis Title 20

    15

    10

    0
    0 10 20 30 40 50 60

    Axis Title
    Horizonte Tiempo 1 Hrs Nº Tiempo Valor Subyacente
    0 0 10
    Nº Intervalos 50 1 1.2 26.6558960090594
    2 2.4 11.7008199787528
    Longitud Intervalos 1.2 Min 3 3.6 18.9587233329034
    4 4.8 24.0575353602929
    Xo 10 5 6 21.1149972439768
    6 7.2 25.3087133479626
    7 8.4 21.6493265192819
    Browniano Aritmético 8 9.6 22.7303940030311
    9 10.8 35.5460431078971
    mu 20 10 12 27.3171776560206
    sigma 5 11 13.2 18.8951972470884
    12 14.4 36.3542642894971
    13 15.6 25.7037341660785
    14 16.8 27.4495640837675
    15 18 8.42346516266001
    16 19.2 25.996185412868
    17 20.4 30.6118177227232
    18 21.6 26.9653113243902
    19 22.8 23.7213711654446
    20 24 21.0394630320266
    21 25.2 27.212256509962
    22 26.4 12.6731722202909
    23 27.6 24.4145503082105
    24 28.8 22.3352037781144
    25 30 24.8623640437484
    26 31.2 29.6763728327498
    27 32.4 22.8663572418788
    28 33.6 8.13558973948475
    29 34.8 28.2359751328107
    30 36 23.1439964852246
    31 37.2 25.7565885189415
    32 38.4 29.7195580306324
    33 39.6 24.7041429060908
    34 40.8 24.242310162624
    35 42 16.5050482200218
    36 43.2 22.9735721212518
    37 44.4 29.849661976751
    38 45.6 30.7600079216236
    39 46.8 27.4995617572672
    40 48 18.7406576124796
    41 49.2 20.8010855751312
    42 50.4 23.5137363997077
    43 51.6 28.2002946589218
    44 52.8 11.1607441263943
    45 54 22.1162302645057
    46 55.2 19.8624500776305
    47 56.4 17.7955744650079
    48 57.6 17.3440643486828
    49 58.8 29.1668913150726
    50 60 22.8362024243903
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