몬테카를로 시뮬레이션방법을 이용한 환율예측분석

Since the crisis of foreign exchange rales in Korea from late 1997, a significant interest has been given to the stability of the exchange rates. This paper uses a Monte Carlo simulation for forecasting of exchange rates, compares the solutions by a Monte Carlo simulation with those by a professional predicting institution's numerical analysis and 2006 January's average real data that the method is efficient as well as simple and flexible in the sense that it can be easily modified to accommodate different processes governing the underlying instruments movements. From the result of Monte Carlo simulation, We could obtain a formula of simulation. Finally, from a formula of Monte Carlo simulation to obtain future's exchange rate, 983.05. But there are a few shortcomings. First, because this study just concentrated on the existing exchange rate theory, it did not propose a new exchange model, which could effectively explain exchange rates determination and variability.Second, it did not propose a tangible exchange rates policy, but just suggests a direction of exchange rates policy. For example, for improving the autonomous function in the foreign currency market, this paper consider neither a government intervention, nor the influence of international speculative money.The paper shows that some conditions are needed in order to converge random prices into a stable status in the simulation.