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