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For questions about programming languages, implementation, and packages in quantitative finance. Note: question must be specific to quantitative finance and must necessitate knowledge of quantitative finance in order to be on topic.

1
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After thinking about it a bit more I realized what the problem is. Y is generated with different increments than X, while I should use the same. I fixed this and know it is decreasing.
answered Sep 20 '15 by frank
2
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1answer
I'm trying to see how the Euler discretization error behaves with respect to the number of steps. To do this I'm simulating a geometric brownian motion and comparing it with it's 'exact' solution. How …
asked Sep 20 '15 by frank