sim_GBM: Simulate from geometric Brownian motion
In TheoMichelot/utilTM: My Utility Functions
sim_GBM R Documentation
Simulate from geometric Brownian motion
Description
Simulate from geometric Brownian motion
Usage
sim_GBM(times, mu = 1, sigma = 1, z0 = 1)
Arguments
times
Times of observation
mu
Percentage drift (> 0)
sigma
Percentage volatility (> 0)
z0
Initial value for simulation (> 0)
Value
Data frame with columns z (simulated process) and time
TheoMichelot/utilTM documentation built on April 14, 2025, 12:52 p.m.
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| sim_GBM | R Documentation |
Simulate from geometric Brownian motion
Description
Simulate from geometric Brownian motion
Usage
sim_GBM(times, mu = 1, sigma = 1, z0 = 1)
Arguments
times |
Times of observation |
mu |
Percentage drift (> 0) |
sigma |
Percentage volatility (> 0) |
z0 |
Initial value for simulation (> 0) |
Value
Data frame with columns z (simulated process) and time
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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