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Finance[DeterministicProcess] - create new deterministic process

Calling Sequence

DeterministicProcess(x, t)

Parameters

x

-

procedure or algebraic expression; value function

t

-

time variable

Description

• 

The DeterministicProcess command creates a new deterministic process. The parameter x is the value of the process. The value can be constant or time-dependent and can be given either as an algebraic expression or a procedure. A procedure defining the value of a deterministic process must accept one argument (the time) and return the corresponding value of the process. If the value is given as an algebraic expression, it must depend on a single variable.

Examples

withFinance:

v:=piecewiset<1&comma;t&comma;1t

v:=&lcub;tt<11totherwise

(1)

G:=DeterministicProcessv&comma;t

G:=_P

(2)

S:=SamplePathGt&comma;t&equals;0..3&comma;timesteps&equals;50

S:= 1..1 x 1..51 ArrayData Type: float8Storage: rectangularOrder: C_order

(3)

plots&lsqb;display&rsqb;PathPlotS&comma;timegrid&equals;0..3&comma;gridlines&comma;thickness&equals;3&comma;color&equals;blue&comma;plotv&comma;t&equals;0..3&comma;thickness&equals;3&comma;color&equals;red

See Also

Finance[BlackScholesProcess], Finance[CEVProcess], Finance[Diffusion], Finance[Drift], Finance[ExpectedValue], Finance[GeometricBrownianMotion], Finance[ItoProcess], Finance[PathPlot], Finance[SamplePath], Finance[SampleValues], Finance[StochasticProcesses], Finance[WienerProcess]

References

  

Glasserman, P., Monte Carlo Methods in Financial Engineering. New York: Springer-Verlag, 2004.

  

Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.


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