% GBM_paths.m
% Use Euler-Maruyama scheme to draw price paths for equity obeying
%  Geometric Brownian Motion SDE: dS=mu*S*dt+sigma*S*dW.

clear

Nrealiz=100
S=100 % stock price at time 0
sig=0.2 % volatility
T=1 % end-time (in years)
r=0.06 % risk-free interest rate
div=0.03 % dividend yield
N=500 % number of time steps

dt=T/N;
nudt=(r-div-0.5*sig^2)*dt;
sigsdt=sig*sqrt(dt);

x0=log(S); % initial value for x=ln(S)

figure
hold on

tic
for i=1:Nrealiz
    x=zeros(N,1);
    t=zeros(N,1);
    x(1)=x0; % initial condition
    t(1)=0;
    r=randn(N,1);
    for n=1:(N-1)
        x(n+1)=x(n)+nudt+sigsdt*r(n);
        t(n+1)=t(n)+dt;
    end
    Sv=exp(x);
    plot(t,Sv,'k-');
end
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