G05XDF Example Program Results

 Euler-Maruyama solution for Geometric Brownian motion
         Path 1     Path 2     Path 3
  1      0.9668     1.0367     0.9992
  2      0.9717     1.0254     1.0077
  3      0.9954     1.0333     1.0098
  4      0.9486     1.0226     0.9911
  5      0.9270     1.0113     1.0630
  6      0.8997     1.0127     1.0164
  7      0.8955     1.0138     1.0771
  8      0.8953     0.9953     1.0691
  9      0.8489     1.0462     1.0484
 10      0.8449     1.0592     1.0429
 11      0.8158     1.0233     1.0625
 12      0.7997     1.0384     1.0729
 13      0.8025     1.0138     1.0725
 14      0.8187     1.0499     1.0554
 15      0.8270     1.0459     1.0529
 16      0.7914     1.0294     1.0783
 17      0.8076     1.0224     1.0943
 18      0.8208     1.0359     1.0773
 19      0.8190     1.0326     1.0857
 20      0.8217     1.0326     1.1095
 21      0.8084     0.9695     1.1389

Analytic solution at final time step
         Path 1     Path 2     Path 3
         0.8079     0.9685     1.1389