Module 11GBM SimulationLesson 3 of 720 min
Multi-Step Paths
Build a full path vector for path-dependent payoffs later.
Update
S_{t+dt} = S_t exp((r-½σ²)dt + σ√dt Z)
Storage
Vec with_capacity(steps+1); push each step including S0.
Challenge
Asian-style: average of path and max(avg-K,0) for one path.
Tips
- with_capacity
- Include S0
- Average path for Asians
Try it live
Multi-Step PathsRust 2021
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Output
Press Run to compile and execute.