sde_ou: Simulate an OU process
In shill1729/sdes: Stochastic differential equation solver
Description
Usage
Arguments
Value
Description
Simulate a OU process sample path using
a numerical stochastic integrator.
Usage
1
sde_ou(x0, tt, param, n = 1000, method = "em")
Arguments
x0
initial value
tt
time horizon
param
vector of mean-reversion rate, level, and vol-of-vol
n
number of time sub-intervals
method
"em" or "rk2"
Value
data.frame numeric
shill1729/sdes documentation built on Aug. 30, 2021, 6:36 p.m.
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Description Usage Arguments Value
Description
Simulate a OU process sample path using a numerical stochastic integrator.
Usage
1 | sde_ou(x0, tt, param, n = 1000, method = "em")
|
Arguments
x0 |
initial value |
tt |
time horizon |
param |
vector of mean-reversion rate, level, and vol-of-vol |
n |
number of time sub-intervals |
method |
"em" or "rk2" |
Value
data.frame numeric
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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