模拟

从 SDE 模型生成标准蒙特卡罗模拟或准蒙特卡罗模拟

将 SDE 模型对象和函数结合使用来进行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
bates Bates stochastic volatility model
drift漂移率模型分量
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
sdeld采用线性漂移 (SDELD) 模型的 SDE
cev常方差弹性 (CEV) 模型
cir考克斯-英格索尔-罗斯 (CIR) 均值回归平方根扩散模型
hestonHeston 模型
hwv赫尔-怀特/瓦西塞克 (HWV) 高斯扩散模型
sdemrd采用均值回归漂移 (SDEMRD) 模型的 SDE
rvmRough volatility model (RVM) (自 R2023b 起)
roughbergomiRough Bergomi model (自 R2024a 起)
roughhestonRough Heston model (自 R2024b 起)

函数

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simByEulerEuler simulation of stochastic differential equations (SDEs) for SDE, BM, GBM, CEV, CIR, HWV, Heston, SDEDDO, SDELD, or SDEMRD models
simByMilsteinSimulate diagonal diffusion for BM, GBM, CEV, HWV, SDEDDO, SDELD, or SDEMRD sample paths by Milstein approximation (自 R2023a 起)
simByMilstein2Simulate BM, GBM, CEV, HWV, SDEDDO, SDELD, SDEMRD process sample paths by second order Milstein approximation (自 R2023b 起)
simulateSimulate multivariate stochastic differential equations (SDEs) for SDE, BM, GBM, CEV, CIR, HWV, Heston, SDEDDO, SDELD, SDEMRD, Merton, or Bates models
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
simByTransitionSimulate Heston sample paths with transition density
simByTransitionSimulate Bates sample paths with transition density
simByTransitionSimulate CIR sample paths with transition density
simByQuadExpSimulate Bates, Heston, and CIR sample paths by quadratic-exponential discretization scheme
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
simByEulerSimulate Merton jump diffusion sample paths by Euler approximation
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)
simByMilstein2Simulate Bates process sample paths by second order Milstein approximation (自 R2023b 起)
simByMilstein2Simulate CIR process sample paths by second order Milstein approximation (自 R2023a 起)
simByMilstein2Simulate Heston process sample paths by second order Milstein approximation (自 R2023b 起)
simByMilstein2Simulate diagonal diffusion Merton sample paths by second order Milstein approximation (自 R2023b 起)
simulateSimulate multivariate stochastic differential equations (SDEs) for SDE, BM, GBM, CEV, CIR, HWV, Heston, SDEDDO, SDELD, SDEMRD, Merton, or Bates models
simByEulerSimulate RVM, roughbergomi, or roughheston sample paths by Euler approximation (自 R2023b 起)
simByHybridSimulate RVM or roughbergomi sample paths by hybrid approximation (自 R2023b 起)
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
simByQuadExpSimulate Bates, Heston, and CIR sample paths by quadratic-exponential discretization scheme
simByTransitionSimulate CIR sample paths with transition density
simByQuadExpSimulate Bates, Heston, and CIR sample paths by quadratic-exponential discretization scheme
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
simByTransitionSimulate Bates sample paths with transition density
simByQuadExpSimulate Bates, Heston, and CIR sample paths by quadratic-exponential discretization scheme
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
simBySolutionSimulate approximate solution of diagonal-drift Merton jump diffusion process
simByEulerSimulate RVM, roughbergomi, or roughheston sample paths by Euler approximation (自 R2023b 起)
simByHybridSimulate RVM or roughbergomi sample paths by hybrid approximation (自 R2023b 起)
ts2funcConvert time series arrays to functions of time and state

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