A collection of numerical implementations for the simulation of well-known stochastic processes on MATLAB.
matlab
stochastic-processes
ornstein-uhlenbeck
geometric-brownian-motion
vasicek
cox-ingersoll-ross
arithmetic-brownian-motion
brownian-bridge
feller-square-root-process
variance-gamma-process
merton-jump-diffusion
kou-jump-diffusion
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Updated
May 23, 2022 - MATLAB