quadraticVariation: Computation of the quadratic variation of random walk. If...

Description Usage Arguments References

View source: R/QuadraticVariation.R

Description

Computation of the quadratic variation of random walk. If random walk is symmetric and thus probability of obtain head equal the probabilty of getting tail, the quadatric variation of this symmetric random walk equal the variance of the random walk.

Usage

1

Arguments

steps

- Number of steps of the random walk

References

[1] Symmetric Random Walk, Stochastic Calculus for Finance, Steven e. Shreve, 2004, pp 85


AnthonyTedde/RandomProcesses documentation built on Oct. 30, 2019, 4:56 a.m.