Function Reference: gbm

Function File: GBM = gbm (Return, Sigma)

Function File: GBM = gbm (Return, Sigma, OptionName, OptionValue, …)

Creates an object to represent a geometric Brownian motion (GBM).

dX_t = (Return(t) * X_t)dt + (diag(X_t) * Sigma(t))dW_t

See the @sde documentation for a list of optional arguments.

See also: sde.