Untitled

Monte Carlo Simulation Of A Standard Brownian Motion
RAND()
Uniform Random Variable Between 0 and 1
NORMSINV(Rand())
Normal Random Variable with Mean 0 StDev 1
NORMSINV(X)
Function Transforming X on [0, 1] to Y on [-Infinity, +Infinity]

so that uniform density of X is transformed to Normal with Mean 0 StDev 1
This function is the same as inverse function to Cumulative density N(X)
X(n)=X(n-1)+E(n)*Sqrt(delta_t)
delta_t
Sqrt(delta_t)
Xo=
Traj
0.01
0.1
Traj
Traj
Traj
Traj
Traj
Traj
Traj
2.0
1.5
1.0
0.5
0.0
-0.5
-1.0
1.00
0.95
0.90
0.85
0.80
0.75
0.70
0.65
0.60
0.55
0.50
0.45
0.40
0.35
0.30
0.25
0.20
0.15
0.10
0.05
-2.0
0.00
-1.5
Traj
Traj
10
0.00 0.01 0.02 0.03 0.04
0.05
0.06
0.07
0.08
0.09
0.10
0.11
0.12
0.13
0.14
0.15
0.16
0.17
t0
t1
t2
t3
t4
t5
t6
t7
t8
t9
t10
t11
t12
t13
t14
t15
t16
t17
0.0
-0.2
-0.2
-0.1
-0.1
-0.1
0.1
0.1
0.1
0.0
0.0
0.0
0.0
0.0
-0.2
-0.1
0.0
-0.1
0.0
0.0
0.0
-0.1
-0.1
-0.1
0.0
-0.1
0.0
0.1
0.3
0.1
0.3
0.3
0.3
0.3
0.2
0.2
0.0
-0.1
-0.2
-0.3
-0.4
-0.4
-0.4
-0.4
-0.5
-0.6
-0.5
-0.5
-0.5
-0.5
-0.6
-0.7
-0.7
-0.7
0.0
-0.1
0.0
-0.2
-0.2
-0.4
-0.5
-0.6
-0.7
-0.8
-0.8
-0.8
-0.7
-0.7
-0.5
-0.4
-0.6
-0.7
0.0
0.0
0.1
0.2
0.0
-0.1
-0.3
-0.2
-0.1
-0.3
0.0
0.1
0.1
0.1
0.1
0.5
0.7
0.7
0.0
0.1
0.2
0.2
0.2
0.1
0.1
-0.1
0.0
0.0
-0.1
-0.1
0.2
0.0
0.1
0.1
0.0
-0.2
0.0
0.1
0.2
0.3
0.2
0.3
0.4
0.5
0.4
0.5
0.5
0.4
0.4
0.6
0.6
0.5
0.5
0.5
0.0
0.1
0.3
0.4
0.5
0.5
0.6
0.6
0.6
0.5
0.2
0.5
0.5
0.4
0.4
0.4
0.5
0.5
0.0
0.0
0.0
-0.2
-0.4
-0.4
-0.4
-0.4
-0.4
-0.4
-0.6
-0.4
-0.2
-0.2
-0.2
-0.2
-0.1
-0.1
0.0
-0.1
-0.3
-0.2
-0.3
-0.3
-0.3
0.0
0.2
0.3
0.4
0.3
0.3
0.3
0.2
0.1
0.2
0.3
0.18
0.19
0.20
0.21
0.22
0.23
0.24
0.25
0.26
0.27
0.28
0.29
0.30
0.31
0.32
0.33
0.34
t18
t19
t20
t21
t22
t23
t24
t25
t26
t27
t28
t29
t30
t31
t32
t33
t34
-0.2
-0.1
-0.1
0.0
0.0
-0.1
0.0
-0.2
-0.1
-0.1
-0.2
-0.1
-0.2
-0.2
-0.1
-0.1
-0.1
0.4
0.3
0.5
0.5
0.4
0.4
0.4
0.4
0.5
0.6
0.6
0.6
0.5
0.4
0.4
0.4
0.3
-0.6
-0.5
-0.4
-0.6
-0.6
-0.6
-0.5
-0.6
-0.6
-0.5
-0.4
-0.6
-0.6
-0.6
-0.6
-0.4
-0.5
-0.7
-0.7
-0.6
-0.7
-0.8
-0.9
-0.8
-0.8
-1.0
-0.9
-0.9
-0.8
-0.7
-0.6
-0.5
-0.6
-0.6
0.7
0.8
0.7
0.7
0.7
0.6
0.6
0.4
0.4
0.5
0.5
0.7
0.7
0.7
0.6
0.3
0.3
-0.1
0.0
0.0
0.0
0.1
0.1
0.1
0.1
0.1
0.0
-0.1
-0.1
0.0
0.1
0.1
0.2
0.1
0.6
0.5
0.6
0.6
0.5
0.5
0.7
0.6
0.6
0.6
0.6
0.7
0.8
0.8
0.8
0.8
0.8
0.6
0.5
0.5
0.5
0.5
0.5
0.5
0.5
0.6
0.5
0.3
0.4
0.5
0.6
0.6
0.7
0.9
0.0
-0.1
-0.2
-0.2
-0.5
-0.5
-0.5
-0.5
-0.6
-0.5
-0.5
-0.4
-0.5
-0.7
-0.7
-0.7
-0.7
0.4
0.2
0.3
0.1
-0.1
0.0
-0.2
-0.2
-0.2
0.0
0.0
0.0
0.0
-0.1
-0.1
-0.2
-0.1
0.35
0.36
0.37
0.38
0.39
0.40
0.41
0.42
0.43
0.44
0.45
0.46
0.47
0.48
0.49
0.50
0.51
t35
t36
t37
t38
t39
t40
t41
t42
t43
t44
t45
t46
t47
t48
t49
t50
t51
-0.1
-0.1
-0.1
-0.1
0.0
0.1
0.1
0.2
0.2
0.0
-0.2
-0.1
-0.2
-0.3
-0.3
-0.3
-0.3
0.2
0.1
0.2
0.1
0.3
0.3
0.2
0.1
0.1
-0.1
0.0
-0.1
0.1
0.2
0.4
0.4
0.4
-0.4
-0.4
-0.4
-0.5
-0.6
-0.6
-0.4
-0.6
-0.6
-0.5
-0.5
-0.6
-0.5
-0.8
-0.8
-0.8
-0.8
-0.5
-0.6
-0.6
-0.6
-0.7
-0.8
-0.7
-0.8
-0.9
-1.0
-1.0
-1.0
-1.0
-1.0
-1.0
-1.0
-1.0
0.3
0.4
0.3
0.6
0.5
0.4
0.6
0.7
0.6
0.6
0.7
0.8
0.8
1.0
1.0
0.9
0.9
0.0
0.0
0.1
0.1
0.2
0.2
0.3
0.3
0.2
0.1
0.1
0.0
0.0
0.2
0.3
0.3
0.2
0.9
1.0
0.7
0.8
0.8
0.7
0.5
0.4
0.3
0.5
0.6
0.6
0.5
0.6
0.6
0.7
0.6
0.8
0.9
0.9
1.0
1.1
1.1
1.0
1.2
1.3
1.3
1.2
1.1
1.0
1.1
1.2
1.2
1.1
-0.8
-0.7
-0.8
-0.8
-0.7
-0.7
-0.7
-0.5
-0.5
-0.6
-0.6
-0.5
-0.5
-0.4
-0.4
-0.4
-0.3
-0.1
-0.2
-0.2
-0.2
0.0
0.2
0.1
0.0
0.1
0.0
0.1
0.3
0.3
0.3
0.4
0.4
0.3
0.54
0.55
0.56
0.57
0.58
0.59
0.60
0.61
0.62
0.63
0.64
0.65
0.66
0.67
0.68
t52
0.52
t53
0.53
t54
t55
t56
t57
t58
t59
t60
t61
t62
t63
t64
t65
t66
t67
t68
-0.2
-0.1
-0.1
0.0
0.0
0.0
0.0
0.2
0.1
0.1
0.1
0.2
0.2
0.1
0.1
0.1
0.1
0.3
0.1
0.1
0.1
0.2
0.0
0.0
0.1
0.0
0.0
-0.3
-0.2
-0.1
-0.3
-0.3
-0.4
-0.5
-0.8
-0.9
-0.9
-0.9
-0.9
-0.9
-0.9
-1.1
-1.2
-1.1
-1.1
-1.2
-1.0
-1.0
-0.9
-1.0
-0.9
-1.1
-1.1
-1.2
-1.0
-0.9
-1.0
-1.1
-1.0
-0.8
-0.8
-0.9
-1.0
-1.0
-0.9
-0.8
-0.7
-0.6
0.8
0.8
0.7
0.6
0.6
0.5
0.6
0.4
0.4
0.3
0.2
0.3
0.3
0.2
0.2
0.2
0.1
0.0
0.1
0.1
0.2
0.2
0.1
0.2
0.2
0.1
0.2
0.2
0.3
0.3
0.3
0.4
0.5
0.6
0.5
0.7
0.8
0.7
0.6
0.7
0.6
0.6
0.6
0.5
0.6
0.6
0.8
0.8
1.1
1.0
1.1
1.2
1.4
1.3
1.3
1.4
1.2
1.2
1.0
1.0
0.8
0.8
0.7
0.8
0.8
0.9
0.9
0.8
-0.4
-0.3
-0.2
-0.3
-0.2
-0.2
-0.3
-0.1
-0.3
-0.3
-0.3
-0.2
-0.4
-0.5
-0.4
-0.2
-0.4
0.3
0.1
0.0
0.0
-0.1
0.1
0.0
0.2
0.1
0.2
0.4
0.5
0.4
0.5
0.6
0.6
0.6
0.69
0.70
0.71
0.72
0.73
0.74
0.75
0.76
0.77
0.78
0.79
0.80
0.81
0.82
0.83
0.84
0.85
t69
t70
t71
t72
t73
t74
t75
t76
t77
t78
t79
t80
t81
t82
t83
t84
t85
0.2
0.2
0.2
0.2
0.0
0.0
-0.2
-0.1
-0.1
-0.1
-0.1
-0.1
-0.2
-0.2
-0.2
-0.1
-0.1
-0.5
-0.5
-0.6
-0.7
-0.9
-0.8
-1.1
-1.0
-0.9
-0.8
-1.0
-1.0
-1.0
-0.9
-1.0
-1.2
-1.3
-0.9
-1.0
-1.1
-1.0
-0.9
-0.8
-0.8
-0.8
-0.7
-0.6
-0.6
-0.7
-0.8
-0.7
-0.8
-0.8
-0.8
-0.6
-0.6
-0.6
-0.7
-0.4
-0.4
-0.3
-0.4
-0.3
-0.4
-0.5
-0.7
-0.7
-0.6
-0.8
-0.6
-0.5
0.2
0.2
0.3
0.4
0.5
0.6
0.9
0.9
1.0
1.0
1.2
1.0
1.0
0.9
0.9
0.9
0.9
0.5
0.4
0.4
0.3
0.4
0.4
0.3
0.3
0.4
0.3
0.4
0.3
0.4
0.4
0.4
0.6
0.5
1.0
1.1
1.2
1.2
1.0
1.0
1.0
1.0
1.0
1.0
1.0
0.9
1.0
1.1
1.1
1.2
1.1
0.6
0.6
0.5
0.5
0.5
0.3
0.3
0.2
0.4
0.3
0.1
0.1
0.1
0.2
0.3
0.2
0.2
-0.5
-0.5
-0.5
-0.4
-0.4
-0.5
-0.6
-0.7
-0.7
-0.7
-0.7
-0.8
-0.9
-0.9
-0.9
-1.0
-1.3
0.6
0.6
0.6
0.6
0.6
0.5
0.6
0.6
0.7
0.8
0.8
0.7
0.9
0.8
0.8
0.9
0.9
0.86
0.87
0.88
0.89
0.90
0.91
0.92
0.93
0.94
0.95
0.96
0.97
0.98
0.99
t86
t87
t88
t89
t90
t91
t92
t93
t94
t95
t96
t97
t98
t99
t100
1.00
-0.2
-0.2
-0.3
-0.3
-0.3
-0.4
-0.6
-0.5
-0.6
-0.7
-0.6
-0.8
-0.8
-0.8
-0.9
-1.3
-1.2
-1.2
-1.1
-1.1
-1.3
-1.2
-1.1
-1.0
-1.0
-1.0
-1.0
-1.0
-0.9
-1.0
-0.8
-0.8
-0.8
-0.9
-1.0
-1.0
-1.1
-1.2
-1.3
-1.2
-1.4
-1.3
-1.4
-1.7
-1.6
-0.5
-0.5
-0.5
-0.4
-0.6
-0.7
-0.8
-0.8
-0.9
-0.9
-0.7
-1.0
-1.1
-1.0
-1.1
0.9
1.0
1.0
0.9
0.9
0.9
0.9
0.9
0.9
0.9
1.0
0.9
1.0
0.8
0.9
0.6
0.5
0.4
0.4
0.5
0.6
0.7
0.8
0.7
0.6
0.6
0.7
0.8
0.8
0.7
1.2
1.1
0.9
0.7
0.7
0.6
0.6
0.7
0.5
0.4
0.3
0.3
0.3
0.2
0.4
0.1
-0.1
-0.1
-0.1
-0.1
0.1
0.1
0.0
-0.1
-0.2
-0.3
-0.2
-0.3
-0.3
-0.3
-1.4
-1.5
-1.6
-1.4
-1.5
-1.5
-1.4
-1.3
-1.3
-1.3
-1.4
-1.4
-1.5
-1.4
-1.4
0.9
0.9
0.9
0.7
0.8
0.7
0.7
0.7
0.8
0.8
0.8
0.8
0.9
0.9
0.9
#####
#####

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Monte Carlo Simulation Of A Standard Brownian Motion

Uniform Random Variable Between 0 and 1

Normal Random Variable with Mean 0 StDev 1

Function Transforming X on [0, 1] to Y on [-Infinity, +Infinity]

0.00 0.01 0.02 0.03 0.04

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