File:GBM mu.png
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DescriptionGBM mu.png |
Deutsch: Unabhängige Geometrische Brownsche Bewegung mit unterschiedlichen Volatilitäten
bm <- function(n=500, from=0, to=1) { x=seq(from=from,to=to,length=n) dBM<-rnorm(n-1,mean=0,sd=sqrt((to-from)/n)) BM<-0 for (t in 2:n-1) { BM[t+1]=BM[t]+dBM[t] } cbind(x,BM) } gbm <- function(bm,S0=1,sigma=0.1,mu=1) { gbm=S0 for (t in 2:length(bm[,1])) { gbm[t]=S0*exp((mu-sigma^2/2)*bm[t,1]+sigma*bm[t,2]) } cbind(bm[,1],gbm) } set.seed(9826064) cs=c("green", "blue", "red") png(filename = "GBM_mu.png", width=1600, height=1200, pointsize = 12) par(bg="lightgrey") x=seq(from=0,to=1,length=500) plot(gbm(bm(),S0=1,mu=0.7,sigma=0.2), lwd=3, col=cs[1], type="l", xlab="Zeit", ylab="", ylim=c(0,2.6)) lines(gbm(bm(),S0=1,mu=0.2,sigma=0.2), lwd=3, col=cs[2]) lines(gbm(bm(),S0=1,mu=-0.7,sigma=0.2), lwd=3, col=cs[3]) title(main="Geometrische Brownsche Bewegung",cex.main=2.5) legend(x=0,y=2.5,legend=c("mu=0.7","mu=0.2","mu=-0.7"),lwd=4,col=cs,bg="transparent",cex=1.2)dev.off() |
Date | 10 June 2005 (original upload date) |
Source | Own work (Original text: Selbst erstellt mit GNU R.) |
Author | Thomas Steiner |
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Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation License, Version 1.2 or any later version published by the Free Software Foundation; with no Invariant Sections, no Front-Cover Texts, and no Back-Cover Texts. A copy of the license is included in the section entitled GNU Free Documentation License.http://www.gnu.org/copyleft/fdl.htmlGFDLGNU Free Documentation Licensetruetrue |
This file is licensed under the Creative Commons Attribution-Share Alike 3.0 Unported license. | ||
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This licensing tag was added to this file as part of the GFDL licensing update.http://creativecommons.org/licenses/by-sa/3.0/CC BY-SA 3.0Creative Commons Attribution-Share Alike 3.0truetrue |
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Transferred from de.wikipedia to Commons by Alletto.
The original description page was here. All following user names refer to de.wikipedia.
- 2005-06-10 23:43 Thire 1600×1200× (17298 bytes)
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current | 21:46, 2 January 2011 | 1,600 × 1,200 (17 KB) | Alletto (talk | contribs) | {{Information |Description={{de|Unabhängige Geometrische Brownsche Bewegung mit unterschiedlichen Volatilitäten R-Quelltext: bm <- function(n=500, from=0, to=1) { x=seq(from=from,to=to,length=n) dBM<-rnorm(n-1,mean=0,sd=sqrt((to-from)/n)) BM |
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