public double Increment(double value)
{
double rand = GaussianBoxMuller.NextDouble();
return(value // Original value
+ (SimulatedPrice.Drift * value * SimulatedPrice.Delta) // Drift term
+ (SimulatedPrice.Volatility * value * Math.Sqrt(SimulatedPrice.Delta) * rand) // Wiener process
+ (0.5 * Math.Pow(SimulatedPrice.Volatility, 2) * SimulatedPrice.Delta * (Math.Pow(rand, 2) - 1))); // Correction term
}
public double Increment(double value)
{
return(value // Original value
+ (SimulatedPrice.Drift * value * SimulatedPrice.Delta) // Drift term
+ (SimulatedPrice.Volatility * value * Math.Sqrt(SimulatedPrice.Delta) * GaussianBoxMuller.NextDouble())); // Wiener process
}
