Question
Simulate 100 paths for the following diffusions given by their SDES on [0,1] using the Euler-Maruyama scheme and the Milstein scheme for a discretization
Simulate 100 paths for the following diffusions given by their SDES on [0,1] using the Euler-Maruyama scheme and the Milstein scheme for a discretization of 0.01. (a) Geometric Brownian motion: ds, = S, dB, + (+s, dt, S = 1, +u+ for -1/2, = -2, and = 0. (b) Ornstein-Uhlenbeck process: dx=-x, dt + dB, X = 1.
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Cornerstones of Financial Accounting
Authors: Jay Rich, Jeff Jones
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978-1337690881, 9781337669450, 1337690880, 1337690899, 1337669458, 978-1337690898
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