sim.price.and.capacity: Simulate 2D process for price and capacity

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

Simulate 2D process for price and capacity

Description

Simulate 2D process for price and capacity

Usage

sim.price.and.capacity(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$dt
model$capSpoil	models decay of existing capacity (default is 0)

Details

first column is P_t price, second column is C_t capacity

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