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SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM)


Author Info

  • Rafal Weron


SIMGBM returns a vector of a sample trajectory of GBM on the time interval [0,N]: dX(t) = MU*X(t)*dt + SIGMA*X(t)*dW(t), given starting value of the process X0, drift MU, volatility SIGMA, time step size DELTA, array of normally distributed pseudorandom numbers NO (array NO is simulated if not provided as an input variable) and method (direct integration, Euler scheme, Milstein scheme, 2nd order Milstein scheme).

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Bibliographic Info

Software component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number M00001.

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Programming language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Date of creation: 27 Dec 2010
Date of revision:
Handle: RePEc:wuu:hscode:m00001

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Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw
Phone: +48-71-3203530
Fax: +48-71-3202654
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Related research

Keywords: Geometric Brownian Motion (GBM); Sample trajectory; Euler scheme; Milstein scheme.;

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