sim.gbm.matrix: Simulate paths of correlated GBM

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

Simulate paths of correlated GBM

Description

Simulate paths of correlated GBM

Usage

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

Arguments

x0	is the starting values. Should be a matrix of size N x model$dim)
model	contains all the other parameters. In particular, need model$r, model$rho, model$sigma, model$div, model$dim Note that model$sigma is the volatility vector
dt	is the step size (Defaults to model$dt)

Details

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

Value

a vector of the new states (same dimension as x0)

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