simGBM | R Documentation |
Simulates a Geometric Brownian Motion process
simGBM( nsims = 1, S0 = 10, drift = 0, sigma = 0.2, T2M = 1, dt = 1/12, vec = TRUE )
nsims |
number of simulations. Defaults to 1 |
S0 |
Spot price at t=0 |
drift |
Drift term in percentage |
sigma |
Standard deviation |
T2M |
Maturity in years |
dt |
Time step in period e.g. 1/250 = 1 business day. |
vec |
Vectorized implementation. Defaults to TRUE |
A tibble of simulated values
Philippe Cote
simGBM(nsims = 2, S0 = 10, drift = 0, sigma = 0.2, T2M = 1, dt = 1 / 12, vec = TRUE)
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