makegm: Make a matrix simulating Geometric Brownian motion
In geneorama/geneorama: Gene's collection of miscellaneous functions
Description
Usage
Arguments
Details
Author(s)
See Also
Description
Creates a matrix simulating Geometric Brownian motion
Usage
1
Arguments
mu
Drift. Default is 0.05,
sigma
Variance. Default is .20,
dt
Timestep. Default is 1,
T
Total Timesteps / columns. Default is 10,
sims
Simulations / rows. Default is 1e4
Details
The makegm function is preferred over make bm for things like pricing options.
Author(s)
Gene Leynes
See Also
geneorama/geneorama documentation built on Oct. 17, 2020, 12:35 a.m.
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Description Usage Arguments Details Author(s) See Also
Description
Creates a matrix simulating Geometric Brownian motion
Usage
1 |
Arguments
mu |
Drift. Default is 0.05, |
sigma |
Variance. Default is .20, |
dt |
Timestep. Default is 1, |
T |
Total Timesteps / columns. Default is 10, |
sims |
Simulations / rows. Default is 1e4 |
Details
The makegm function is preferred over make bm for things like pricing options.
Author(s)
Gene Leynes
See Also
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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