SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM)
AbstractSIMGBM 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 InfoSoftware component provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Software with number M00001.
Programming language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Date of creation: 27 Dec 2010
Date of revision:
Geometric Brownian Motion (GBM); Sample trajectory; Euler scheme; Milstein scheme.;
Other versions of this item:
- Rafal Weron, 2010. "SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM)," Statistical Software Components M430008, Boston College Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rafal Weron).
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