VaR( stock, sigma)

Version 1.0.0.0 (378 Bytes) by Christina Kotioni
This is a simple function that calculates the VaR using the Geometric Brownian Motion
5.0
(1)
270 Downloads
Updated 12 Feb 2015

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In this function a monte carlo simulation method is used, in order to calculate the VaR of a stock price. The user has to input the volatility of the stock and the initial stock price

Cite As

Christina Kotioni (2024). VaR( stock, sigma) (https://www.mathworks.com/matlabcentral/fileexchange/49673-var-stock-sigma), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2013a
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.0.0.0