Give the Euler-Milstein approximation scheme for the following SDE: [d S_{t}=mu_{S} S_{t} d t+sigma S_{t}^{beta} d B_{t}]
Question:
Give the Euler-Milstein approximation scheme for the following SDE:
\[d S_{t}=\mu_{S} S_{t} d t+\sigma S_{t}^{\beta} d B_{t}\]
where \(\beta \in(0,1]\). Generate five paths and plot them for the following parameter values:
\[\mu_{S}=0.1, \quad \sigma=0.7, \quad \beta=\frac{1}{3}, \quad S_{0}=100\]
Step by Step Answer:
Related Book For
Quantitative Finance
ISBN: 9781118629956
1st Edition
Authors: Maria Cristina Mariani, Ionut Florescu
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