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RANDOM.BROWNIAN

Generate Brownian samples at given times.

Description

Generate Brownian sample paths μt + σBt where Bt is standard Brownian motion.

Syntax

RANDOM.BROWNIAN(Times, Stdev, Mean)

  • Times is an array of times at which to sample the Brownian motion.

  • Stdev is the optional volatility of the Brownian motion. Default is 1.

  • Mean is the optional drift of the Brownian motion. Default is 0.