Verify equation (5.4.6) for the processes (5.4.4). *1. Implement an algorithm that draws the Sierpinski triangle with
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Verify equation (5.4.6) for the processes (5.4.4).
*1. Implement an algorithm that draws the Sierpinski triangle with r ¼ 0:5 (see Figure 6.2).
Hint: Choose the following fixed points: (0, 0), (0, 100), (100, 0). Use the following method for the randomized choice of the fixed point: i ¼ [10 rand()] %3 where rand() is the uniform distribution within [0, 1] and % is modulus (explain the rationale behind this method). Note that at least 10000 iterations are required for a good-quality picture.
*2. Reproduce the first five steps of the binomial cascade with m0 ¼ 0:6 (see Figure 6.3). How will this cascade change if m0 ¼ 0:8?
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Quantitative Finance For Physicists An Introduction
ISBN: 9780120884643
1st Edition
Authors: Anatoly B. Schmidt
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