6.11.2.3.7. statsmodels.sandbox.tsa.diffusion.GeometricBrownian¶
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class
statsmodels.sandbox.tsa.diffusion.
GeometricBrownian
(xzero, mu, sigma)[source]¶ Geometric Brownian Motion
:math:: dx_t &= mu x_t dt + sigma x_t dW_t
$x_t $ stochastic process of Geometric Brownian motion, $mu $ is the drift, $sigma $ is the Volatility, $W$ is the Wiener process (Brownian motion).
6.11.2.3.7.1. Methods¶
__init__ (xzero, mu, sigma) |
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expectedsim (func[, nobs, T, dt, nrepl]) |
get expectation of a function of a Wiener Process by simulation |
sim ([nobs, T, dt, nrepl]) |
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simEM ([xzero, nobs, T, dt, nrepl, Tratio]) |
from Higham 2001 |
simulateW ([nobs, T, dt, nrepl]) |
generate sample of Wiener Process |