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Simulation of Stock Paths

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Asset Prices and Return Distributions  

 

The following was implemented in Maple by Marcus Davidsson (2008)

davidsson_marcus@hotmail.com
 

 

 

 

 

 

 

 

 

 

 

XX) Outline 

 

 

 

 

 

1) Introduction 

 

 

 

 

 

2) Stationary Process 

 

 

 

 

 

3) Pure Unit Root 

 

 

 

 

 

 

4) Serial Dependent Pure Unit Root ( ARIMA(1,1) ) 

 

 

 

 

 

 

5) Unit Root with a Stochastic Trend 

 

 

 

 

 

 

6) Trend Stationary Process