Description Usage Arguments Value Author(s) See Also Examples

Quick Generating Geometric Brownian motion avoiding unnecessary loops using the `cumsum`

function. Technical function implemented in the pricing functions of the package.

1 |

`Spot` |
Spot price of the underlying asset (e.g. stock). |

`sigma` |
Volatility of the underlying asset. |

`n` |
Number of paths simulated. |

`m` |
Number of time steps in the simulation. |

`r` |
Interest rate of the numeraire currency (e.g. EUR). |

`dr` |
Dividend rate of the underlying asset. |

`mT` |
Maturity time (years). |

Table with paths generated (each row is a path, class "matrix")

Mikhail A. Beketov

Functions: `AmerPutLSM`

,
`AmerPutLSM_AV`

,
`AmerPutLSM_CV`

,
`AsianAmerPutLSM`

,
`QuantoAmerPutLSM`

, and
`QuantoAmerPutLSM_AV`

.

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