rGbm

Simulate an multivariate series following Geometric Brownian Motion (GBM)

Provides functions for risk management and portfolio investment of securities with practical tools for data processing and plotting. Moreover, it contains functions which perform the COS Method, an option pricing method based on the Fourier-cosine series (Fang, F. (2008) <doi:10.1137/080718061>).

Wei Ling

RMOPI

Risk Management and Optimization for Portfolio Investment

Yang Liu

rGbm function

<dl><dt>name</dt>
<dd>vector of series names</dd>
<dt>time</dt>
<dd>vector of time, must be a "Date" type variable</dd>
<dt>start</dt>
<dd>vector of start positions</dd>
<dt>mu</dt>
<dd>vector of <code>mu</code></dd>
<dt>sigma</dt>
<dd>vector of <code>sigma</code></dd></dl>

Arguments

Simulate prices series of stocks — rGbm

<dl>

<dt>name</dt>
<dd>vector of series names</dd>


<dt>time</dt>
<dd>vector of time, must be a "Date" type variable</dd>


<dt>start</dt>
<dd>vector of start positions</dd>


<dt>mu</dt>
<dd>vector of <code>mu</code></dd>


<dt>sigma</dt>
<dd>vector of <code>sigma</code></dd>

</dl>

rGbm: Simulate prices series of stocks

Description

Usage

Value

Arguments

Examples