trwalkGenerator: trwalkGenerator compute all the sets of the values taken by a...

In AnthonyTedde/RandomWalk: Random Processes

Description

trwalkGenerator compute all the sets of the values taken by a random walk along with the associated probabilities.

Usage

trwalkGenerator(time_to_maturity = 100, prob = c(head = 1/2, tail = 1/2),
  scale = 1, full = FALSE)

Arguments

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

References

[1] Symmetric Random Walk, Stochastic Calculus for Finance, Steven e. Shreve, 2004, pp 83-84

Examples

# 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)

AnthonyTedde/RandomWalk documentation built on Dec. 13, 2021, 11:02 p.m.