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Monte Carlo Simulations
Number of Simulations:
Number of Displayed Paths:
Simulated Price Paths
Price Distribution
Simulate Once
MC Simulation
Price simulation parameters
Simulation model:
Mean-Reversion with Jumps
Binomial Model
Year type:
Calendar Year
Business Year
Time Step ($\Delta t$):
Monthly
Weekly
Daily
Time Horizon, in years
Initial Price, $\$$
Volatility ($\sigma$), %
Long-Run Mean ($\overline{P}$)
Risk-Adjusted Discount Rate ($\rho$), %
Interest Rate ($r$), %
$H$ (half-life of $x(t)$), years
Frequency ($\lambda_u$) of up-jumps
Size of up-jumps
Implied Reversion Speed ($\eta$), (per annum)
Accounting parameters
Settlement Interval (in periods)
Number of Units in Underlying Investment
Re-Investment Rules
Draw D. Threshold%
Reinvested Capital%
Investment Performance & Statistics
ROI , %
Max DrawD , %
Volatility , %
Sharpe ratio , %
AVG ROI , %
AVG MaxDD , %
AVG VOL , %
AVG Sharpe R , %
Benchmark Statistics (100% Reinvest.)
ROI , %
Max DrawD , %
Volatility , %
Sharpe ratio , %
AVG ROI , %
AVG MaxDD , %
AVG VOL , %
AVG Sharpe R , %
