rGbmSingle

Simulate an univariate 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

rGbmSingle function

<dl><dt>len</dt>
<dd>the length</dd>
<dt>start</dt>
<dd>the start position</dd>
<dt>mu</dt>
<dd>the <code>mu</code> parameter of GBM</dd>
<dt>sigma</dt>
<dd>the <code>sigma</code> parameter of GBM</dd></dl>

Arguments

Simulate a single stock price series — rGbmSingle

<dl>

<dt>len</dt>
<dd>the length</dd>


<dt>start</dt>
<dd>the start position</dd>


<dt>mu</dt>
<dd>the <code>mu</code> parameter of GBM</dd>


<dt>sigma</dt>
<dd>the <code>sigma</code> parameter of GBM</dd>

</dl>

rGbmSingle: Simulate a single stock price series

Description

Usage

Value

Arguments

Examples