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Jan
28
revised Simulating of GBM
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Jan
28
asked Simulating of GBM
Jan
28
comment Approximation of SDE
@Ilya: Thanks, that makes sense. @ Julian: Thanks for the tip, I just looked at the book and it really helps. But now my question has changed slightly: Given that there exists a closed form solution for the GBM, I take it from chapter 2 in Iacus' book that if I'm interested in modeling the entire trajectory of the process, I still need to discretize the GBM (p. 66)? If so, why? And if not, why does he use the GBM in his approximation part? Thanks a lot!!
Jan
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Jan
25
revised Approximation of SDE
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25
awarded  Editor
Jan
25
revised Approximation of SDE
added 197 characters in body
Jan
25
asked Approximation of SDE