Timeline for Efficient GeometricBrownianMotionProcess Monte Carlo simulation
Current License: CC BY-SA 3.0
5 events
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| Mar 15, 2013 at 8:07 | comment | added | user6174 |
@Tom Gladd Thank you. I found a way to do implement it based on your snippet. Could you maybe give me a hint how to implement a function which calculates a probability and takes as input two consecutive values in your framework (in PartialBarrierTest) I want to calculate the probability that the GBM leaves the barriers between two discrete time stamps (similar to BBridge) and as input the functions expects the two values. THX
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| Mar 8, 2013 at 6:14 | comment | added | Tom Gladd | Hello Verbia, I'm sorry but I don't understand how to comply with your request. I don't see a {} button. I'm not sure how to move content and/or delete an entry. So many sites on the web, so many rules and conventions. I just tried to answer a question. | |
| Mar 7, 2013 at 4:12 | comment | added | Verbeia | Hi Tom, I edited your post to format your code. You can do this by selecting the relevant text and clicking the {} button above the editing area. Also, this is really an edit to the existing post. Could you please move the content to your other answer and delete this one? | |
| Mar 7, 2013 at 4:10 | history | edited | Verbeia | CC BY-SA 3.0 |
added 102 characters in body
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| Mar 7, 2013 at 2:56 | history | answered | Tom Gladd | CC BY-SA 3.0 |