Description Usage Arguments References
View source: R/QuadraticVariation.R
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.
1 | quadraticVariation(W, to)
|
steps |
- Number of steps of the random walk |
[1] Symmetric Random Walk, Stochastic Calculus for Finance, Steven e. Shreve, 2004, pp 85
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