7.5. Explosion time. Consider the SDE dY = ex dB, Y = 0. et Clearly, the...

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7.5. Explosion time. Consider the SDE dY = ex dB, Y = 0. et Clearly, the local volatility grows much faster than the assumption of Theorem 7.21. Sample 100 paths of this process using the Euler scheme with a discretization of 0.01. What do you notice? What if you sample only one path? 7.5. Explosion time. Consider the SDE dY = ex dB, Y = 0. et Clearly, the local volatility grows much faster than the assumption of Theorem 7.21. Sample 100 paths of this process using the Euler scheme with a discretization of 0.01. What do you notice? What if you sample only one path?

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The given stochastic differential equation SDE is dY eB dW Y0 0 This SDE involves exponential growth ... View the full answer