Details
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New Feature
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Status: Reopened
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Major
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Resolution: Unresolved
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None
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None
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None
Description
Quite simple Monte-Carlo engine:
1. Generates N samples (paths) of Ito process with given drift and
diffusion. It uses simple Euler discretization on equally spaced time scale.
2. For each path evaluate some path function and provide this value to
SummaryStatistics.