Programming with ChatGPT
Currently, I’m curious about ChatGPT and I’d like to know if it can address some programming issues. And I was able to successfully use it...
Approximation (Milstein Scheme) of the Cox-Ingersoll-Ross process
The CIR process is given by the SDE: (1) (cf. Glasserman, p. 108); where W(t) is a Brownian motion. Take α=0.2, σ=0.02, b=0.05, and...