matlab errors

malena

New member
Joined
Jan 23, 2008
Messages
1
hi i am doing a finance assigment using matlab and i m having some problems with one of the codes settings can anyone tell me whats wrong with this formula: T=1
dt=0.01
K=floor(t/dt)
t=0:dt:T
S(0)=100
W(1)=0
for k=1:K
Z=randn
W(k+1)=W(k)+sqrt(dt)*Z
for t<T
t=t+dt
Z=randn
S(t+dt)=S(t)+mu*S(t)*dt+sigma*S(t)*sqrt(dt)*Z
end
plot(t,W)

it should be the code for quest 1.aii ofhttp://edubb.uvt.nl/courses/1/35V5A1/ ... I_2007.pdf
thanx
 
1st, your link doesn't work!

And what do you mean by "with this formula"? Do you mean "with the way I coded"?
 
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