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06-11-2015 09:36 AM

Is there a way to simulate data points that have been drawn from a Geometric Brownian Motion (Weiner Process)?

I am looking at this function:SAS(R) 9.2 Language Reference: Dictionary, Fourth Edition

But I don't see an option for a Weiner process.

I know the Black Scholes internally simulates a Weiner process but is it possible to see what a set of 10,000 numbers drawn from a Weiner process looks like?

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Solution

06-11-2015
02:47 PM

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06-11-2015 02:47 PM

I'll show you the standard Weiner process (mean=0, std dev=1) and you can generalize it if necessary.

A reference is https://me.ucsb.edu/~moehlis/APC591/tutorials/tutorial7/node2.html

The key observation is that the STEP SIZES of the Weiner process are Gaussian distribution, so you can use the RAND function in the DATA step to simulate the step sizes. In SAS/IML, you can use the RANDGEN or RANDFUN functions to generate the normally distributed step sizes.

proc iml;

/* simulate N time steps from Weiner process on interval [0,Tf] */

N = 1000;

Tf = 5;

call randseed(12345);

/* algorithm: step sizes are normally distributed */

N = N-1; /* X(0)=0, so N-1 random values */

dt = Tf/N;

sd = sqrt(dt);

steps = randfun(N, "Normal", 0, sd); /* random step sizes */

x = 0 // cusum(steps); /* X(0)=0 */

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06-11-2015 01:13 PM

I suggest you post this under the "SAS Statistical Procedures" and "SAS/IML Software and Matrix Computations" forums, I think you'll be more likely to catch the eye of someone familiar with this topic.

Tom

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06-11-2015 01:30 PM

Thanks Tom! **eagles_dare13**, I moved this thread to the SAS/IML community.

Anna

Solution

06-11-2015
02:47 PM

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06-11-2015 02:47 PM

I'll show you the standard Weiner process (mean=0, std dev=1) and you can generalize it if necessary.

A reference is https://me.ucsb.edu/~moehlis/APC591/tutorials/tutorial7/node2.html

The key observation is that the STEP SIZES of the Weiner process are Gaussian distribution, so you can use the RAND function in the DATA step to simulate the step sizes. In SAS/IML, you can use the RANDGEN or RANDFUN functions to generate the normally distributed step sizes.

proc iml;

/* simulate N time steps from Weiner process on interval [0,Tf] */

N = 1000;

Tf = 5;

call randseed(12345);

/* algorithm: step sizes are normally distributed */

N = N-1; /* X(0)=0, so N-1 random values */

dt = Tf/N;

sd = sqrt(dt);

steps = randfun(N, "Normal", 0, sd); /* random step sizes */

x = 0 // cusum(steps); /* X(0)=0 */

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06-11-2015 02:54 PM

Thank you. I copied your code but am getting:

ERROR: Invocation of unresolved module RANDFUN

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06-11-2015 03:07 PM

Then replace that line with

steps = j(N,1);

call randgen(steps, "Normal", 0, sd); /* random step sizes */