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Simulating the Schwartz type 1 stochastic process

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created by: Thijs van den Berg (http://www.sitmo.com)
Simulating the Schwartz type 1 stochastic process equation

The Schwartz type 1 model is a log price Ornstein-Uhlenbeck stochastic process. Monte Carlo simulation of the model can be done using the equation above. The above equation is an exact solution of the model, this means that the distribution of the simulation is exact, and that time steps can be any size.

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