Module 11GBM SimulationLesson 2 of 724 min
Simulate Terminal Spots
MC estimate of E[S_T] vs theory.
Estimator
Average many terminal spots; should approach S0 e^{rT}.
Reduce N if timeout
Playground may be slow for huge N.
Challenge
Multi-step path with 50 steps stored in Vec.
Tips
- Compare to theory
- Seed reproducibility
- Increase N for accuracy
Try it live
Simulate Terminal SpotsRust 2021
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Output
Press Run to compile and execute.