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Results tagged with simulations
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user 63040
Reproduction of the characteristics or the outcome of a phenomenon or process using math or programming. Here limited to events related with quantitative finance as defined in the help center.
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CEV model effective simulation
I want to simulate the following CEV process : $$ dM_t = \sigma_t M_t^{\eta} dW_t $$
Using Euler discretization to $M_t$, if at a given time $t$, $M_t$ takes a negative value then $M_{t+1} = M_t + \si …
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