BS Path Generation using exact formulea instead of Discritization schemes

Posted by thusitha liyanage on Jan 29, 2009; 8:40pm
URL: http://quantlib.414.s1.nabble.com/BS-Path-Generation-using-exact-formulea-instead-of-Discritization-schemes-tp6953.html

Hi All,

What is the best way to get BS process to generate paths using the exact formulea instead of the Euler schemes. i.e.

Currently BS process uses
  Sn+1 - Sn = (mu - 0.5*sigma^2)* (Sn)deltat + sigma *Sn*sqrt(deltat)*N(0,1)

What I would like to use is the exact equation to generate the same paths
i.e
  Sn+1 = Sn*exp[(mu - 0.5*sigma^2) + sigma*sqrt(dt)*N(0,1)]

Is this something I can do using existing processes in Quantlib, or do I have to do this myself?
The reason I am asking is I need this done for BS, OU process etc where we have exact and near exact solutions.

Thanks and regards,


Thusitha