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Constant Diffusion Transformation - CEV
I am reading about the constant diffusion transformation (Glasserman p.373 & Jackel p.33). It is a good method to use in Monte Carlo since it makes predictor-corrector particularly easy. However, equation I think (4.36) in Jackel should read:I have implemented this CEV Monte Carlo process in Matlab, and the expected value will agree only if the above equation is used and not (4.36) from Jackel. Is this a know errata item? Does anyone know if Jakcel is in fact correct and I have missed part of the derivation?TPD