SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM)
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).
|Requires:||MATLAB (tested on MATLAB ver. 7.9).|
|Date of creation:||27 Dec 2010|
|Contact details of provider:|| Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw|
Web page: http://prac.im.pwr.wroc.pl/~hugo
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