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seen Feb 5 '13 at 23:46

Jan
30
accepted Derivation of Ito's Lemma
Jan
30
awarded  Supporter
Jan
29
asked Derivation of Ito's Lemma
Jan
28
awarded  Scholar
Jan
28
accepted Simulation of GBM
Jan
28
comment Simulation of GBM
Thanks a lot! That was very helpful!
Jan
28
comment Simulation of GBM
Thank's for pointing out the typos and sorry about that. I follow your point, just one question: Why does the time dependent part in the stochastic element drop out? should sigma Z_j not be dependent on the time step?
Jan
28
revised Simulation of GBM
added 8 characters in body
Jan
28
comment Simulation of GBM
That makes sense, thanks a lot (and sorry about the typos). So, do I understand correctly then that the discrete form is usually an approximation and used if there is no closed form (i.e., no exact analytical solution)? And by approaching the limit of 0 with my timestep, I can overcome the problem (somehwat) of an approximation error?
Jan
28
awarded  Student
Jan
28
awarded  Editor
Jan
28
revised Simulation of GBM
added 1 characters in body
Jan
28
asked Simulation of GBM