nag_rand_bb_inc (g05xdc) Example Program Results
Euler-Maruyama solution for Geometric Brownian motion
Path 1 Path 2 Path 3
1 0.9668 1.0367 0.9992
2 0.9717 1.0254 1.0077
3 0.9954 1.0333 1.0098
4 0.9486 1.0226 0.9911
5 0.9270 1.0113 1.0630
6 0.8997 1.0127 1.0164
7 0.8955 1.0138 1.0771
8 0.8953 0.9953 1.0691
9 0.8489 1.0462 1.0484
10 0.8449 1.0592 1.0429
11 0.8158 1.0233 1.0625
12 0.7997 1.0384 1.0729
13 0.8025 1.0138 1.0725
14 0.8187 1.0499 1.0554
15 0.8270 1.0459 1.0529
16 0.7914 1.0294 1.0783
17 0.8076 1.0224 1.0943
18 0.8208 1.0359 1.0773
19 0.8190 1.0326 1.0857
20 0.8217 1.0326 1.1095
21 0.8084 0.9695 1.1389
Analytic solution at final time step
Path 1 Path 2 Path 3
0.8079 0.9685 1.1389