You signed in with another tab or window. Reload to refresh your session.You signed out in another tab or window. Reload to refresh your session.You switched accounts on another tab or window. Reload to refresh your session.Dismiss alert
Copy file name to clipboardExpand all lines: README.md
+7-7Lines changed: 7 additions & 7 deletions
Display the source diff
Display the rich diff
Original file line number
Diff line number
Diff line change
@@ -9,16 +9,16 @@ One of the oldest and simplest models developed is the [Black-Sholes-Merton](htt
9
9
10
10
### Input
11
11
Black Sholes simulation:
12
-
-S0 ... integer, specifying the initial value of the underlying asset
13
-
-mu ... float, specifying the drift rate of the underlying asset
14
-
- sigma ... float, standard deviation of the underlying asset's return
15
-
-T ... integer, specifying the maximum modeling time. ex. if T = 2 then modelling time will run from 0 to 2
16
-
-dt ... float, specifying the length of each subinterval. ex. dt=10, then there will be 10 intervals of length 0.1 between two integers of modeling time
17
-
-rho ... float, specifying the correlation coefficient of the Brownian motion. ex. rho = 0.4 means that two Brownian motions have a correlation coefficient of 0.4
12
+
-`S0` ... integer, specifying the initial value of the underlying asset
13
+
-`mu` ... float, specifying the drift rate of the underlying asset
14
+
-`sigma` ... float, standard deviation of the underlying asset's return
15
+
-`T` ... integer, specifying the maximum modeling time. ex. if T = 2 then modelling time will run from 0 to 2
16
+
-`dt` ... float, specifying the length of each subinterval. ex. dt=10, then there will be 10 intervals of length 0.1 between two integers of modeling time
17
+
-`rho` ... float, specifying the correlation coefficient of the Brownian motion. ex. rho = 0.4 means that two Brownian motions have a correlation coefficient of 0.4
18
18
19
19
### Output
20
20
Return:
21
-
- stock_price_simulation ... N x 2 pandas DataFrame where index is modeling time and values are a realisation of the uderlying's price
21
+
-`stock_price_simulation` ... N x 2 pandas DataFrame where index is modeling time and values are a realisation of the uderlying's price
0 commit comments