prices.GBM: Creates a single asset path of daily prices using Geometric...

In EFForTS-B10/Refforts: What the Package Does (One Line, Title Case)

Creates a single asset path of daily prices using Geometric Brownian Motion.

Description

Get parameter files from efforts-abm folder

Usage

prices.GBM(N, sigma, mu, S0, Wt = NULL)

Arguments

N	Number of days in the path.
sigma	Volatility or standard deviation of daily continuously compounded returns.
mu	Drift or average daily continuously compounded returns.
S0	The initial price of the asset.
Wt	The cumulative Brownian motion of the model. This can be supplied or left as NULL. In the case that it is NULL, a vector will be provided. If you include this argument, it must be a vector of length N of the cumulative sum of a random variable to work properly.

Details

Creates a single asset path of daily prices using Geometric Brownian Motion.

Value

A vector of length N containing the asset prices generated by the specified GBM

Examples

## Not run: 
prices.GBM()

## End(Not run)

EFForTS-B10/Refforts documentation built on March 26, 2023, 5:45 p.m.