Realised variance with microstructure noise
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From: Ayotunde on 29 May 2010 18:55 "Ayotunde " <rhymer2k(a)yahoo.co.uk> wrote in message <htqd99$8d0$1(a)fred.mathworks.com>... > Hey guys am back again with my ineptitude. My questions this time is that i have this question below to do > > generate a sample path with 2340001 (100 days of working hours data sampled every second) observations of Heston model using the following Euler approximation: > ln(pt+∆t) = ln(pt) + σt∆W (1) t+∆t > σ2 = σ2 + κ(θ − σ2)∆t + ξσ ∆W(2) t+∆tt t tt+∆t > with ∆W(1) and ∆W(2) generated from bivariate normal distribution > > this is just part of the question. Part of the question explains how to get ∆W(1)and ∆W(2) from a bivariate normal distribution using mvnrnd which i have done but i don't know what do after this. How do generate the actual sample. This would help me figure out stuff for my project in which i have to do monte carlo analysis. > Thanks, any help would be appreciated > Ps. I have have also been given parameters to use for the generating process Any Help please?
From: Steven Lord on 1 Jun 2010 14:53 "Ayotunde " <rhymer2k(a)yahoo.co.uk> wrote in message news:htqd99$8d0$1(a)fred.mathworks.com... > Hey guys am back again with my ineptitude. My questions this time is that > i have this question below to do > > generate a sample path with 2340001 (100 days of working hours data > sampled every second) observations of Heston model using the following > Euler approximation: > ln(pt+∆t) = ln(pt) + σt∆W (1) t+∆t > σ2 = σ2 + κ(θ − σ2)∆t + ξσ > ∆W(2) t+∆tt t tt+∆t > with ∆W(1) and ∆W(2) generated from bivariate normal > distribution > > this is just part of the question. Part of the question explains how to > get ∆W(1)and ∆W(2) from a bivariate normal distribution using > mvnrnd which i have done but i don't know what do after this. How do > generate the actual sample. This would help me figure out stuff for my > project in which i have to do monte carlo analysis. > Thanks, any help would be appreciated > Ps. I have have also been given parameters to use for the generating > process Show the group what you've tried and I suspect you'll get people willing to help nudge you back onto the right track. -- Steve Lord slord(a)mathworks.com comp.soft-sys.matlab (CSSM) FAQ: http://matlabwiki.mathworks.com/MATLAB_FAQ To contact Technical Support use the Contact Us link on http://www.mathworks.com
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