VaR( stock, sigma)
This is a simple function that calculates the VaR using the Geometric Brownian Motion
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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 (2026). VaR( stock, sigma) (https://www.mathworks.com/matlabcentral/fileexchange/49673-var-stock-sigma), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (378 Bytes)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
