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- function genS_jl(I)
- s0 = 600.0
- r = 0.02
- sigma = 2.0
- T = 1.0
- M = 100
- dt = T/M
- a = (r - 0.5*sigma^2)*dt
- b = sigma*sqrt(dt)
- paths = zeros(Float64, M, I)
- for i in 1:I
- paths[1, i] = st = s0
- for j in 2:M
- st *= exp(a + b*randn())
- paths[j, i] = st
- end
- end
- return paths
- end
- genS_jl(10) # Warm up JIT
- @elapsed genS_jl(100000) # Outputs 0.538962298
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