Description Usage Arguments References Examples
View source: R/trwalkGenerator.R
trwalkGenerator compute all the sets of the values taken by a random walk along with the associated probabilities.
1 2 |
time_to_maturity |
- Time at which the random walk process stops |
prob |
- Probability of occurence of head and tail for each step |
scale |
- Divider of the time step and multiplier of the increments |
[1] Symmetric Random Walk, Stochastic Calculus for Finance, Steven e. Shreve, 2004, pp 83-84
1 2 3 | # Generate the theoretical distribution and value for a symmetric random walk
process up to time_to_maturity = 4 and scale = 100:
trwalkGenerator(time_to_maturity = 4, scale = 100)
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