sstock_return_ito: Stock Price Approximation using Itô

Description Usage Arguments Value Author(s)

View source: R/sstock.R

Description

This function approximates the return of a stock price driven by a unique Brownian Motion, using the Itô-Doeblin formula for Itô-processes.

Usage

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sstock_return_ito(initial_stock_price = 50, time_to_maturity = 4,
  seed = 1, scale = 100, sigma = 1, alpha = 0)

Arguments

initial_stock_price

Stock price at initial step

time_to_maturity

Time upon which measurement is done

seed

Control randmoness

scale

Divided part of a unit. For instance scale of 100 will divide 4 units of time in 100 parts each, that brings to a total time of 400 periods of time measurement.

sigma

Volatility of the stock

alpha

Mean rate of return of the stock

Value

A data.frame containing 2 variables: stock_price_path and the according time_periods.

Author(s)

Anthony Tedde


AnthonyTedde/StockPriceSimulator documentation built on July 10, 2018, 12:47 a.m.