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Movimento Geomtrico Browniano

Parmetros
S0
mu
sigma
n
T
dt
DriftLog

Estimadores
100
ret. logaritmicos
19% mu
25.56%
40% sigma
35.38%
100
5
TECLE F9 PARA GERAR UMA
0.05
NOVA TRAJETRIA DE PREOS
11.00%

Movimento Geomtrico Browniano


450
400
350
300
250
200
150
100
50
0
0

0.5

1.5

2.5

3.5

4.5

t
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52

Sdiscr
0
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
0.45
0.5
0.55
0.6
0.65
0.7
0.75
0.8
0.85
0.9
0.95
1
1.05
1.1
1.15
1.2
1.25
1.3
1.35
1.4
1.45
1.5
1.55
1.6
1.65
1.7
1.75
1.8
1.85
1.9
1.95
2
2.05
2.1
2.15
2.2
2.25
2.3
2.35
2.4
2.45
2.5
2.55
2.6

100
103.517
103.3783
107.1955
110.7148
111.3886
106.8971
113.9526
102.8927
100.7221
100.7757
107.8465
108.7703
98.91701
105.9833
111.002
116.6112
94.6121
92.21883
89.02453
98.5277
89.151
79.08433
84.97542
86.52225
89.8963
86.83963
92.15783
107.5023
115.7879
117.1346
131.0176
145.7431
152.6416
145.2113
133.3973
152.5696
158.4858
177.3976
149.0704
147.8542
142.5305
153.3268
164.8325
142.3501
154.1286
149.1658
148.2235
138.1911
153.1318
159.4356
151.465
141.1044

53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100

2.65
2.7
2.75
2.8
2.85
2.9
2.95
3
3.05
3.1
3.15
3.2
3.25
3.3
3.35
3.4
3.45
3.5
3.55
3.6
3.65
3.7
3.75
3.8
3.85
3.9
3.95
4
4.05
4.1
4.15
4.2
4.25
4.3
4.35
4.4
4.45
4.5
4.55
4.6
4.65
4.7
4.75
4.8
4.85
4.9
4.95
5

158.3163
157.1639
162.8054
154.9882
164.577
169.0558
161.9428
152.6056
145.7084
146.5704
152.7721
157.441
174.0673
176.4506
180.0145
183.4978
196.3614
205.5378
187.9829
197.7224
210.3499
205.4843
241.2623
254.9783
253.3385
259.0517
300.9971
300.9917
284.8543
238.7902
239.5861
255.0814
261.0238
285.5009
302.305
309.688
346.3682
335.793
331.5296
302.2745
388.2216
410.2904
371.5423
388.2863
421.839
402.2761
427.4994
366.8812

Slog
100
103.1661
102.6167
106.0515
109.1535
109.3814
104.6393
111.3325
100.6314
98.13744
97.7977
104.4871
104.9653
95.49197
102.1538
106.6799
111.7613
92.17708
89.51586
86.1231
95.44264
86.43193
76.89495
82.51098
83.69126
86.67201
83.44008
88.35568
103.9461
111.8263
112.6828
126.3554
140.8214
147.0578
139.5115
128.0972
147.3062
152.5191
171.1634
145.3197
143.5636
137.9335
148.1935
159.1042
138.2638
149.5914
144.2731
142.7923
132.9146
147.4992
153.0843
145.038
134.908

Aleatrio

RetLog

RetDicreto

0.287003
-0.121195
0.306612
0.260847
-0.038174
-0.557027
0.631716
-1.191345
-0.342067
-0.100264
0.678231
-0.010443
-1.119015
0.692476
0.423217
0.458754
-2.215424
-0.389027
-0.49348
1.087263
-1.170226
-1.368664
0.726623
0.097305
0.329779
-0.486369
0.578489
1.755336
0.755501
0.023822
1.218899
1.150384
0.422989
-0.650455
-1.015818
1.500664
0.327326
1.227921
-1.891517
-0.197423
-0.508778
0.740667
0.732763
-1.631164
0.818889
-0.466213
-0.17684
-0.862946
1.102564
0.354032
-0.665148
-0.870977

0.034566
-0.001341
0.036259
0.032303
0.006067
-0.041158
0.063916
-0.102096
-0.021321
0.000532
0.067811
0.008529
-0.094957
0.069001
0.046267
0.049297
-0.20906
-0.025621
-0.035252
0.101426
-0.100006
-0.119817
0.071847
0.01804
0.038255
-0.034594
0.05944
0.15401
0.074248
0.011564
0.112008
0.106514
0.046247
-0.049903
-0.084858
0.134289
0.038044
0.112729
-0.173975
-0.008191
-0.036671
0.073016
0.072358
-0.146641
0.079498
-0.032729
-0.006337
-0.070084
0.102662
0.040341
-0.051286
-0.070854

0.03517
-0.00134
0.036924
0.032831
0.006086
-0.040322
0.066002
-0.097057
-0.021095
0.000532
0.070163
0.008566
-0.090588
0.071437
0.047354
0.050532
-0.188654
-0.025296
-0.034638
0.106748
-0.095168
-0.112917
0.074491
0.018203
0.038996
-0.034002
0.061242
0.166502
0.077074
0.011631
0.118522
0.112393
0.047333
-0.048678
-0.081357
0.143723
0.038777
0.119329
-0.159682
-0.008158
-0.036006
0.075747
0.07504
-0.136396
0.082744
-0.032199
-0.006317
-0.067684
0.108116
0.041166
-0.049993
-0.068403

151.8015
150.0989
154.9636
147.1091
155.8731
159.5339
152.3501
143.2404
136.364
136.6255
141.9615
145.7827
161.3733
162.9449
165.6057
168.1674
179.6593
187.5029
171.466
179.863
190.9593
185.848
220.3119
232.2689
229.8586
234.1626
274.2212
273.1216
257.8306
218.4576
218.312
231.9682
236.4877
258.7001
273.2885
278.9271
312.7465
302.1312
297.1285
270.9467
358.6176
378.0787
342.6336
356.9971
387.6645
368.6195
390.9057
337.8727

1.257567
-0.187594
0.29511
-0.643042
0.585489
0.198051
-0.576628
-0.750839
-0.611523
-0.040073
0.366851
0.235471
1.074464
0.046867
0.119603
0.110132
0.677552
0.416269
-1.061121
0.473047
0.607817
-0.364827
1.840454
0.529402
-0.178115
0.14592
1.704098
-0.106414
-0.705638
-1.914195
-0.068948
0.616875
0.154244
0.942205
0.551843
0.166838
1.218013
-0.447567
-0.248166
-1.092795
3.072744
0.529341
-1.162092
0.397641
0.859908
-0.624705
0.59481
-1.691553

0.115095
-0.007306
0.035266
-0.049206
0.060029
0.026851
-0.042986
-0.059386
-0.046249
0.005898
0.041441
0.030104
0.100391
0.013599
0.019996
0.019166
0.067754
0.045673
-0.089279
0.050513
0.061908
-0.023403
0.160515
0.055294
-0.006452
0.022301
0.150073
-2E-005
-0.055105
-0.176392
0.003328
0.06267
0.023029
0.089634
0.057191
0.024129
0.111937
-0.031007
-0.012778
-0.092381
0.250241
0.055289
-0.099202
0.04408
0.082881
-0.047485
0.060814
-0.152915

0.12198
-0.007279
0.035895
-0.048015
0.061868
0.027214
-0.042075
-0.057657
-0.045196
0.005916
0.042312
0.030561
0.105603
0.013692
0.020198
0.01935
0.070102
0.046732
-0.08541
0.051811
0.063865
-0.023131
0.174115
0.056851
-0.006431
0.022551
0.161919
-2E-005
-0.053614
-0.161711
0.003333
0.064675
0.023296
0.093773
0.058858
0.024422
0.118442
-0.030532
-0.012697
-0.088243
0.284335
0.056846
-0.094441
0.045066
0.086413
-0.046375
0.062701
-0.141797

Movimento Geomtrico Browniano


n
Parmetros
S0
mu
sigma
n
T
dt
DriftLog

Estimadores
100
ret. logaritmicos
15% mu
-68.71%
40% sigma
43.92%
30
1
-0.5907582
0.033333
0.41244562
7.00%

CLIQUE GERA SRIE PARA GERAR UMA


NOVA TRAJETRIA DE PREOS

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

dt
0.033333
0.066667
0.1
0.133333
0.166667
0.2
0.233333
0.266667
0.3
0.333333
0.366667
0.4
0.433333
0.466667
0.5
0.533333
0.566667
0.6
0.633333
0.666667
0.7
0.733333
0.766667
0.8
0.833333
0.866667
0.9
0.933333
0.966667
1

S
97.97947
98.2881
91.51228
91.54169
87.642
90.18309
91.32982
85.05151
95.05877
98.29353
98.89453
97.38057
89.04468
94.59961
94.37251
99.57325
101.84
109.5263
93.43593
88.40914
79.50887
72.64201
70.69627
65.19136
48.90113
49.47548
51.18417
51.85332
55.68731
50.30291

RetLog
-0.020412
0.003145
-0.07143
0.000321
-0.043534
0.028582
0.012635
-0.07122
0.111238
0.033463
0.006096
-0.015427
-0.089488
0.060515
-0.002404
0.053644
0.022509
0.072762
-0.158889
-0.055301
-0.106107
-0.090325
-0.027151
-0.081066
-0.287526
0.011677
0.033953
0.012989
0.071333
-0.101689

RetDiscr
-0.020205
0.00315
-0.068938
0.000321
-0.0426
0.028994
0.012716
-0.068743
0.117661
0.034029
0.006114
-0.015309
-0.085601
0.062384
-0.002401
0.055109
0.022765
0.075474
-0.146909
-0.053799
-0.100671
-0.086366
-0.026785
-0.077867
-0.249883
0.011745
0.034536
0.013074
0.073939
-0.09669