sim.gbm.cor: Simulate paths of correlated GBM with a constant correlation

In mludkov/mlOSP: Machine Learning and Regression Monte Carlo Algorithms for Optimal Stopping

Simulate paths of correlated GBM with a constant correlation

Description

Simulate paths of correlated GBM with a constant correlation

Usage

sim.gbm.cor(x0, model, dt = model$dt)

Arguments

x0	is the starting values (vector)
model	contains all the other parameters. In particular, need model$r, model$rho, model$sigma, model$div, model$dim Note that model$sigma is the volatility parameter (scalar)
dt	is the step size

Details

Simulate correlated multivariate Geometric Brownian motion with a given model$rho and identical model$sigma's. Calls rmvnorm from mvtnorm

mludkov/mlOSP documentation built on April 29, 2023, 7:56 p.m.