Fundamental of Derivative Security Pricing
Simulating systems of SDEs Setup Assume that a general two dimensional system of SDE is given by σσμ σσμ ++= ++= )(),,()(),,(),,( )(),,()(),,(),,( tdztYXtdztYXdttYXdY tdztYXtdztYXdttYXdX 2121111 ttttttt 2221212 ttttttt With starting values )0( )0( = = YY XX where X…