sim.ouExp: Simulate from exponential Ornstein Uhlenbeck process

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

Simulate from exponential Ornstein Uhlenbeck process

Description

Simulate from exponential Ornstein Uhlenbeck process

Usage

sim.ouExp(x0, model, dt = model$dt)

Arguments

x0	is the starting values (matrix of size N x model$dim)
model	a list containing all the other parameters, including volatility model$sigma, interest rate model$r and continuous dividend yield model$div.
dt	is the step size in time. Defaults to model$dt

Details

Uses model$alpha for the mean-reversion strength, model$meanrev for the mean-reversion level, and model$sigma for the volatility.

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