FINLAB78
Every future is computable.Build the one worth having.
dSₜ = μSₜ·dt + σSₜ·dWₜ
μ drift +2.40 %/yr
σ vol 0.184
N paths 10,000
Δt step 1 / 12
T horizon 60 mo
seed 0x7F3A19
σ/√N 0.0018
state converged ✓
Ensemble statistics
E[Sₜ] +18.4%
median +16.1%
σ(Sₜ) 11.2%
VaR₉₅ −8.2%
P(Sₜ>S₀) 87.3%
skew 0.41
Monte-Carlo ensemble / 10,000 paths / 95% CI / GBM
FINLAB78