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

Rafał Weron

HSC Software from Hugo Steinhaus Center, Wroclaw University of Science and Technology

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
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/hscode/simGBM.m Program file (text/plain)

Related works:
Software Item: SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wuu:hscode:m00001

Access Statistics for this software item

More software in HSC Software from Hugo Steinhaus Center, Wroclaw University of Science and Technology Contact information at EDIRC.
Bibliographic data for series maintained by Rafal Weron ().