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模拟

从 SDE 模型生成标准蒙特卡罗模拟或准蒙特卡罗模拟

对象

sde随机微分方程 (SDE) 模型
bm布朗运动 (BM) 模型
gbm几何布朗运动 (GBM) 模型
merton Merton jump diffusion model （自 R2020a 起）
bates Bates stochastic volatility model （自 R2020a 起）
driftDrift-rate model component
diffusion扩散率模型分量
sdeddo基于漂移和扩散分量建立随机微分方程 (SDEDDO) 模型
sdeldSDE with Linear Drift (SDELD) model
cev常方差弹性 (CEV) 模型
cirCox-Ingersoll-Ross (CIR) 均值回归平方根扩散模型
hestonHeston model
hwvHull-White/Vasicek (HWV) Gaussian Diffusion model
sdemrdSDE with Mean-Reverting Drift (SDEMRD) model

函数

全部展开

simBySolutionSimulate approximate solution of diagonal-drift GBM processes
simBySolutionSimulate approximate solution of diagonal-drift HWV processes
simBySolutionSimulate approximate solution of diagonal-drift Merton jump diffusion process （自 R2020a 起）
simByTransitionSimulate Heston sample paths with transition density （自 R2020b 起）
simByTransitionSimulate Bates sample paths with transition density （自 R2020b 起）
simByTransitionSimulate CIR sample paths with transition density
simByQuadExpSimulate Bates, Heston, and CIR sample paths by quadratic-exponential discretization scheme （自 R2020a 起）
simByEulerEuler simulation of stochastic differential equations (SDEs) for SDE, BM, GBM, CEV, CIR, HWV, Heston, SDEDDO, SDELD, or SDEMRD models
simByEulerSimulate Bates sample paths by Euler approximation （自 R2020a 起）
simByEulerSimulate Merton jump diffusion sample paths by Euler approximation （自 R2020a 起）
simByMilsteinSimulate diagonal diffusion Merton sample paths by Milstein approximation （自 R2023a 起）
simByMilsteinSimulate Heston process sample paths by Milstein approximation （自 R2023a 起）
simByMilsteinSimulate Bates process sample paths by Milstein approximation （自 R2023a 起）
simByMilsteinSimulate CIR process sample paths by Milstein approximation （自 R2023a 起）
simByMilsteinSimulate diagonal diffusion for BM, GBM, CEV, HWV, SDEDDO, SDELD, or SDEMRD sample paths by Milstein approximation （自 R2023a 起）
simulateSimulate multivariate stochastic differential equations (SDEs) for SDE, BM, GBM, CEV, CIR, HWV, Heston, SDEDDO, SDELD, SDEMRD, Merton, or Bates models
simulateSimulate multivariate stochastic differential equations (SDEs) for SDE, BM, GBM, CEV, CIR, HWV, Heston, SDEDDO, SDELD, SDEMRD, Merton, or Bates models
simByEulerEuler simulation of stochastic differential equations (SDEs) for SDE, BM, GBM, CEV, CIR, HWV, Heston, SDEDDO, SDELD, or SDEMRD models
interpolateBrownian interpolation of stochastic differential equations (SDEs) for SDE, BM, GBM, CEV, CIR, HWV, Heston, SDEDDO, SDELD, or SDEMRD models
simByTransitionSimulate Heston sample paths with transition density （自 R2020b 起）
simByQuadExpSimulate Bates, Heston, and CIR sample paths by quadratic-exponential discretization scheme （自 R2020a 起）
simByTransitionSimulate CIR sample paths with transition density
simByQuadExpSimulate Bates, Heston, and CIR sample paths by quadratic-exponential discretization scheme （自 R2020a 起）
simBySolutionSimulate approximate solution of diagonal-drift GBM processes
simBySolutionSimulate approximate solution of diagonal-drift HWV processes
simulateSimulate multivariate stochastic differential equations (SDEs) for SDE, BM, GBM, CEV, CIR, HWV, Heston, SDEDDO, SDELD, SDEMRD, Merton, or Bates models
simByEulerSimulate Bates sample paths by Euler approximation （自 R2020a 起）
simByTransitionSimulate Bates sample paths with transition density （自 R2020b 起）
simByQuadExpSimulate Bates, Heston, and CIR sample paths by quadratic-exponential discretization scheme （自 R2020a 起）
simulateSimulate multivariate stochastic differential equations (SDEs) for SDE, BM, GBM, CEV, CIR, HWV, Heston, SDEDDO, SDELD, SDEMRD, Merton, or Bates models
simByEulerSimulate Merton jump diffusion sample paths by Euler approximation （自 R2020a 起）
simBySolutionSimulate approximate solution of diagonal-drift Merton jump diffusion process （自 R2020a 起）
ts2funcConvert time series arrays to functions of time and state

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