Simulating geometric Brownian motion with a cash dividend before T.
|
Initial value at t=0 of geometric Brownian
|
|
Value of geometric Brownian motion at time T
|
|
Y
|
Yield of the underlying, for stocks Y=r (interest rate), futures Y=0, currencies Y=(domestic interest rate-foreign interest rate)
|
|
r
|
Continuous compounded interest rate
|
|
Volatility
|
|
Cash dividend amount at time t
|
|
Random sample from a normal (Gaussian) ditribution with mean 0 and standard deviation 1.
|
