jvnVaR (version 1.0)

jMCPri: Monte-Carlo Price Simulation

Description

Using when you need a series of price to do back-testing.

This function using normal return model to simulate price.

Related report: Value at Risk.

Usage

jMCPri(s0, mu, sigma, m)

Arguments

s0

The initial price or the price at the first day.

mu

Expected (or drift) of return.

sigma

Standard deviation (or volatility) of return.

m

Number of observations.

Value

An array of price.

References

Value at Risk.(reserchgate.net)

See Also

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

Examples

s0 <- 100
mu <- 0.02
sigma <- 0.1
m <- 1000
jMCPri (s0, mu, sigma, m)