function S = asset_path ( S0, mu, sigma, T, N )

%*****************************************************************************80
%
%% ASSET_PATH simulates the behavior of an asset price over time.
%
%  Modified:
%
%    28 March 2005
%
%  Author:
%
%    Desmond Higham
%
%  Reference:
%
%    Desmond Higham,
%    Black-Scholes for Scientific Computing Students,
%    Computing in Science and Engineering,
%    November/December 2004, Volume 6, Number 6, pages 72-79.
%
%  Parameters:
%
%    Input, real S0, the asset price at time 0.
%
%    Input, real mu, the expected growth rate.
%
%    Input, real r, the interest rate.
%
%    Input, real sigma, the volatility of the asset.
%
%    Input, real T, the expiry date.
%
%    Input, integer N, the number of steps to take between 0 and T.
%
%    Output, real S(N+1), the option values from time 0 to T in equal steps.
%
  dt = T / N;

  S = S0 * cumprod ( exp ( ( mu - sigma^2 ) * dt ...
    + sigma * sqrt ( dt ) * randn ( N, 1 ) ) );

  return
end