Module abm

Module abm 

Source
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This library provides multiple stochastic processes including:

  • Arithmetic Brownian Motion (ABM)
  • Geometric Brownian Motion (GBM)
  • Ornstein-Uhlenbeck Process (OU)
  • Feller Square Root Process
  • Brownian Bridge Process

Structs§

ArithmeticBrownianMotion
Arithmetic Brownian Motion (ABM) simulates the asset price over time using the formula: dS = μ * dt + σ * dW