November 18th, 2013, 7:16 pm
QuoteOriginally posted by: edouardQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: edouard(Ouch! I'm sorry this is very basic)At FXpaul.wordpress.com, the author explains that "The simplest updating formula for Ornstein-Uhlenbeck process is"I don't get why [$]W_{t-1}[$] takes place in the updating of the process. I would rather write (use) [$]W_t[$], that is [$]S_t-S_{t-1}=\theta(\mu-S_{t-1})\Delta t+\sigma\sqrt{\Delta t} W_t[$].Can someone explain, please?Hey, wait a minute!Unless I have missed something fundamental, the above formula (actually both) is very very WRONG.(BTW is "simplest updating formula" supposed to be Euler here??)Ah, you! python. i noticed a typo in your snippet in "for i in xrange(1,N)", that is the letter "x" makes the whole thing bug.that's interesting how you do those things such as creating a variable for square roots.i'm posting the 'translation' of your code into R language.Not my code: I use C++, C#, VBA and R mainly I took it from Wiki to show my question: it calls gauss(0,1) but not W_t and I don't get it. Is this scheme Euler or something else?
Last edited by
Cuchulainn on November 17th, 2013, 11:00 pm, edited 1 time in total.