geometric_Brownian_motion: Geometric Brownian motion
In joaodmrodrigues/tsmodels: Time-series models
Description
Usage
Arguments
Value
View source: R/geometric_Brownian_motion.R
Description
Simulates a stochastic realization of geometric Brownian motion
The geometric Brownian motion is often taken as the standard model of stocks and other financial instruments.
It is also one of the building blocks of the Black-Scholes option pricing model.
Usage
1
geometric_Brownian_motion(T, dt, mu, sigma, Y0)
Arguments
T
total time
dt
time step
mu
mean
sigma
standard deviation of the stochastic term, over 1 time unit
Y0
initial value
Value
The time and the process realization vectors
1 - The time vector t.
2 - Tbe process realization Y.
joaodmrodrigues/tsmodels documentation built on Jan. 9, 2021, 3:21 p.m.
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Description Usage Arguments Value
View source: R/geometric_Brownian_motion.R
Description
Simulates a stochastic realization of geometric Brownian motion The geometric Brownian motion is often taken as the standard model of stocks and other financial instruments. It is also one of the building blocks of the Black-Scholes option pricing model.
Usage
1 | geometric_Brownian_motion(T, dt, mu, sigma, Y0)
|
Arguments
T |
total time |
dt |
time step |
mu |
mean |
sigma |
standard deviation of the stochastic term, over 1 time unit |
Y0 |
initial value |
Value
The time and the process realization vectors
1 - The time vector t.
2 - Tbe process realization Y.
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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