Fairmat repository1.9
Version1.1.7
Version date01.08.2016
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Geometric Brownian Motion

License: Free
Author: Fairmat srl

Provides several calibration strategies for the GBM models (using historical series and quoted options) and also includes the multivariate GBM stochastic process which simplifies the modeling of contracts linked to the performance of several equities. Aside equities modeling, it allows to model FX rates as GBM models.

Tags: GBM, equity modelling, calibration, options chain
Downloads: 800