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