Search type Search syntax
Tags [tag]
Exact "words here"
Author user:1234
user:me (yours)
Score score:3 (3+)
score:0 (none)
Answers answers:3 (3+)
answers:0 (none)
isaccepted:yes
hasaccepted:no
inquestion:1234
Views views:250
Code code:"if (foo != bar)"
Sections title:apples
body:"apples oranges"
URL url:"*.example.com"
Bookmarks inbookmarks:mine
inbookmarks:1234
Status closed:yes
duplicate:no
migrated:no
wiki:no
Types is:question
is:answer
Exclude -[tag]
-apples
For more details on advanced search visit our help page
Results tagged with
Search options user 50822
1
vote
1answer
I am trying to simulate Geometric Brownian Motion in Python, however the results that I get seem very strange and in my opinion they can't be correct. My goal is to simulate each day of 1 year. Basica …
asked Dec 16 '20 by Willart
1
vote
1answer
Suppose we have two stocks following GBMs. Drift and volatility are calculated based on historical data. Furthermore the stocks are assumed to be correlated (i.e. they move together, if stock 1 goes u …
asked Sep 30 '21 by Willart
2
votes
0answers
I want to simulate two correlated Geometric Brownian Motion processes in Python. I found an implementation from Matlab (https://www.goddardconsulting.ca/matlab-monte-carlo-assetpaths-corr.html) and an …
asked Nov 12 '20 by Willart
0
votes
0answers
My situation is the following: I have two time series TS1 and TS2, whereas TS1 is a stock price. According to literature, TS2 is positively correlated to TS1. Furthermore, since TS1 is a stock price, …
asked Nov 9 '20 by Willart
1
vote
1answer
I know that it is possible to simulate two correlated GBM in e.g. Matlab (Generating Correlated Asset Paths in MATLAB) based on cholesky decomposition. However, they take as input the correlation matr …
asked Dec 29 '20 by Willart