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trajectory with known ending point
hello. i have a simulation question: how would you simulate the trajectories of an asset, for example SPX, where the start price is known, the ending price is known and the targeted volatility of the simulated trajectories is known as well. The thing is that all trajectories must finish at a specific pre-determined ending price.many thanks, niki
trajectory with known ending point
If you think you are in a Black-Scholes like world you want the log of the asset price to follow a Brownian bridge.