euler_maruyama2: Simulating Ito diffusions

In shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes

Description

TO BE DEPRECATED—–Euler-Maruyama scheme for simulationg Ito diffusion.

Usage

euler_maruyama2(
  maturity,
  mu,
  volat,
  x0 = 0,
  n = 100,
  expIto = FALSE,
  spot = NULL
)

Arguments

maturity	timespan of simulation
mu	drift coefficient function
volat	volatility coefficient function
x0	initial position
n	number of time sub-intervals in simulation
expIto	boolean whether or not to simulate Ito diffusion directly or an exponential Ito diffusion, i.e. S_0 e^{X_t} where X_t is the Ito diffusion.
spot	defaults to NULL if not using an exponential-Ito process, otherwise enter a spot price.

Details

Simple time-stepping scheme over each sub-interval. See details on e.g. wikipedia

Value

data.frame time series

shill1729/FeynmanKacSolver documentation built on May 19, 2020, 8:23 p.m.