Quantnet :: Show

function[x] = Eulerscheme(lev,dt,mu,x0)
r=randn(lev+1,1);
t = zeros(lev,1);
x = zeros(lev+1,1);
x(1)= x0;
for i=2:lev+1
  t(i-1)=(i-1)*dt;
  iv = (-0.2./(log(x(i-1)/x0).^2+1))+0.3;  
  x(i)=x(i-1)+(1+mu)*dt+x(i-1)*iv*sqrt(dt)*r(i);
end  
x = x(2:end);