Assume that the price of the stock follows the model
$S(t) = S(0) exp (
t + σW(t)
where W(t) is a standard Brownian motion; σ > 0, S(0) > 0, m are some constants.
Derive the ...
As I am refining a pricing model to incorporate skew, and not just ATM volatilities, I need to create random realizations of the underlying consistent with the skew-implied pdf. When searching, one ...