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

Rafał Weron ()

Statistical Software Components from Boston College Department of Economics

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).

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9).
Keywords: Geometric Brownian Motion (GBM); Sample trajectory; Euler scheme; Milstein scheme. (search for similar items in EconPapers)
Date: 2010-12-27
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Software Item: SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) (2010) Downloads
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