<![CDATA[GoldSim Wiki - Ito Process Random Walk Model]]>http://www.GoldSim.com/Wiki/Model Library.Ito-Process-Random-Walk-Model.ashxTue, 21 May 2013 17:56:16 GMTScrewTurn Wiki RSS Feed Generator<![CDATA[Ito Process Random Walk Model]]>http://www.GoldSim.com/Wiki/Model Library.Ito-Process-Random-Walk-Model.ashxIto Process Random Walk Model

Description

This simple model illustrates how an Ito process can be modeled with the History Generator element. An Ito process does a simple random walk for a value with an underlying exponential growth rate expressed as the expected normalized growth per year, and a normalized variance that increases linearly with time. It is widely used for simulating the value of an investment.

Download the model file


See Also

Other Business and Financial models

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