We assume that the change in price for each quarter is uniformly
distributed between a=-8% and b=12%.
To simulate random numbers from a uniform distribution in the
interval (a,b) we use the following steps
- Generate r, a random number from uniform distribution in the
interval (0,1)
- a+(b-a)*r is a random number generated from a uniform
distribution in the interval (a,b)
We can do the following calculations, knowing that r is drawn
from uniform(0,1)
|
Quarter
|
r |
Return % |
| 1 |
0.52 |
-8+(12-(-8))*0.52=2.4 |
| 2 |
0.99 |
-8+(12-(-8))*0.99=11.8 |
| 3 |
0.12 |
-8+(12-(-8))*0.12=-5.6 |
| 4 |
0.15 |
-8+(12-(-8))*0.15=-5 |
| 5 |
0.5 |
-8+(12-(-8))*0.5=2 |
| 6 |
0.77 |
-8+(12-(-8))*0.77=7.4 |
| 7 |
0.4 |
-8+(12-(-8))*0.4=0 |
| 8 |
0.52 |
-8+(12-(-8))*0.52=2.4 |
ans:Â Â the simulated quarterly price change for each of
the eight quarters is
|
Quarter
|
r |
Return % |
| 1 |
0.52 |
2.4% |
| 2 |
0.99 |
11.8% |
| 3 |
0.12 |
-5.6% |
| 4 |
0.15 |
-5% |
| 5 |
0.5 |
2% |
| 6 |
0.77 |
7.4% |
| 7 |
0.4 |
0% |
| 8 |
0.52 |
2.4% |
