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Update geometric_bm.jl
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ChrisRackauckas committed Jan 15, 2019
1 parent bdcde3e commit 88a4cde
Showing 1 changed file with 1 addition and 1 deletion.
2 changes: 1 addition & 1 deletion src/geometric_bm.jl
Expand Up @@ -10,7 +10,7 @@ function (p::GeometricBrownianMotion)(W,dt,rng) #dist
else
rand_val = wiener_randn(rng,typeof(W.dW))
end
new_val = exp(drift*dt + p.σ*sqrt(dt)*rand_val)
new_val = @. exp(drift*dt + p.σ*sqrt(dt)*rand_val)
return W[end]*(new_val-1)
end

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