Description Usage Arguments Value Examples

The inhomogeneous geometric Brownian motion, also known as the integrated GBM process, is a member of the general affine class of stochastic process that has been reported to be well suited for modelling energy prices.
The `IGBM_simulate`

function utilizes antithetic variates as a simple variance reduction technique.

1 | ```
IGBM_simulate(n, t, reversion_rate, sigma, equilibrium, S0, dt)
``` |

`n` |
The total number of price paths to simulate |

`t` |
The forecasting period, in years |

`reversion_rate` |
The reversion rate term of the IGBM process |

`sigma` |
The volatility term of the IGBM process |

`equilibrium` |
The equilibrium term of the IGBM process |

`S0` |
The initial value of the underlying asset |

`dt` |
The discrete time step of observations, in years A stochastic process S(t) is an IGBM that follows the following continuous-time stochastic differential equation:
Where 'reversion_rate' is the rate of reversion term, 'equilibrium' is the equilibrium value the process reverts towards, |

A matrix of simulated price paths of the IGBM process. Each column corresponds to a simulated price path, and each row corresponds to a simulated observed price of the simulated price paths at each discrete time period.

1 2 3 4 5 6 7 8 | ```
## 100 simulations of 1 year of monthly price paths:
Simulated <- IGBM_simulate(n = 100,
t = 1,
reversion_rate = 1,
sigma = 0.2,
equilibrium = 100,
S0 = 100,
dt = 1/12)
``` |

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