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

Author

Listed:
  • Rafal Weron

Programming Language

MATLAB

Abstract

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).

Suggested Citation

  • Rafal Weron, 2010. "SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM)," HSC Software M00001, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:hscode:m00001
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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/simGBM.m
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