gbm: Generate a time series of geometric Brownian motion.
Description
This function generatea a time series of one dimension
geometric Brownian motion. adapted from
http://cos.name/wp-content/uploads/2008/12/stochastic-differential-equation-with-r.pdf
.
Usage
gbm(x0 = 1, mu = 0, sigma = 1, t0 = 0, t = 1, n = 100)
Arguments
x0
the start value, with the default value 1
mu
the interest rate, with the default value 0
sigma
the diffusion coefficient, with the default
value 1
t0
the start time point, with the default value 0
t
the end time point, with the default value 1
n
the number of points between t0 and t that will
be generated, with the default value 100